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苏卿 · 2023年07月24日

statement3错在哪里?

* 问题详情,请 查看题干

NO.PZ201601050100001706

问题如下:

Which of Whitacre’s three statements about fed funds futures is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

A is correct.

Typical end-of-month (EOM) activity by large financial and banking institutions often induces “dips” in the effective federal funds (FFE) rate that create bias issues when using the rate as the basis for probability calculations of potential Federal Open Market Committee rate moves. If EOM activity increases the price for the relevant fed funds contract, the FFE rate would decline. A decline in the FFE rate would decrease the probability of a change in the fed funds rate. To overcome this EOM bias, data providers have implemented various methods of “smoothing” EOM dips.

Statement 2 is incorrect because the probabilities inferred from the pricing of fed funds futures usually do not have strong predictive power, especially for the longer-term horizon.

Statement 3 is incorrect because, to derive probabilities of Fed interest rate actions, market participants look at the pricing of fed funds futures, which are tied to the FFE rate—that is, the rate used in actual transactions between depository institutions, not the Fed’s target fed funds rate.

中文解析:

表述1正确,大型金融和银行机构月底的活动,往往会导致实际联邦基金利率的“下降”

表述2是不正确的,因为从联邦基金期货价格推断的概率通常没有很强的预测能力,特别是长期来看。

陈述3是不正确的,因为要推导美联储利率行动的概率,市场参与者要看联邦基金期货的定价,它与FFE利率挂钩,FFE是指存款机构之间实际交易的利率,而不是美联储的目标联邦基金利率。

读半天答案,回去看statement3看半天都不知道在说什么意思,请老师详细解读一下

1 个答案
已采纳答案

pzqa31 · 2023年07月24日

嗨,努力学习的PZer你好:


FFE:指的是The effective federal funds rate,即存款机构之间实际交易的利率。


联邦基金期货合约中隐含的利率叫做Expected FFE rate。公式为Fed funds futures contract price = 100 – Expected FFE rate. 这里是市场预期值。


计算美联储下次加息或者降息25bp概率的公式中使用的是联邦基金期货合约中隐含的利率,即Expected FFE rate。


federal funds target rate,是由FOMC(联邦公开市场委员会)决定,并通过公开市场操作达成。美联储通过下次加息或者降息25bp,来引导FFE达到federal funds target rate。


陈述3这个解释的意思是:联邦基金期货的定价与FFE利率挂钩,FFE是基于实际情况的,这是相对target(主观预测)来讲的

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