NO.PZ202212300200004801
问题如下：
Which of Whitacre’s
three statements about fed funds futures is correct?
选项：
A.Statement 1
Statement 2
Statement 3
解释：
Correct Answer: A
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.
麻烦解释下expected FFE rate和target FFE rate的区别？总是觉得是一样的
