NO.PZ202212300200004801
问题如下：
Which of Whitacre’sthree statements about fed funds futures is correct?
选项：
A.
Statement 1
B.
Statement 2
C.
Statement 3
解释：
Correct Answer: A
Typical end-of-month (EOM) activity by large financial and bankinginstitutions often induces “dips” in the effective federal funds (FFE) ratethat create bias issues when using the rate as the basis for probabilitycalculations of potential Federal Open Market Committee rate moves. If EOMactivity increases the price for the relevant fed funds contract, the FFE ratewould decline. A decline in the FFE rate would decrease the probability of achange in the fed funds rate. To overcome this EOM bias, data providers haveimplemented various methods of “smoothing” EOM dips.
Statement 2 is incorrect because the probabilities inferred from thepricing 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 Fedinterest rate actions, market participants look at the pricing of fed fundsfutures, which are tied to the FFE rate—that is, the rate used in actualtransactions between depository institutions, not the Fed’s target fed fundsrate.
Statement 3为什么错？
