NO.PZ2022123002000047
问题如下:
Sarah Ko, a private wealthadviser in Singapore, is developing a short-term interest rate forecast for herprivate wealth clients who have holdings in the US fixed-income markets. Koneeds to understand current market expectations for possible upcoming centralbank (i.e., US Federal Reserve Board) rate actions. The current price for thefed funds futures contract expiring after the next FOMC meeting is 97.175. Thecurrent federal funds rate target range is set between 2.50% and 2.75%.
Explain how Ko can use thisinformation to understand potential movements in the current federal fundsrate.
解释:
Correct Answer:
First, Ko knows that the FFE rate implied by the futures contractprice of 97.175 is 2.825% (= 100 – 97.175). This is the rate that marketparticipants expect to be the average federal funds rate for that month.
Second,Ko should determine the probability of a rate change. She knows the 2.825% FFErate implied by the futures signals a fairly high chance that the FOMC willincrease rates by 25 bps from its current target range of 2.50%–2.75% to thenew target range of 2.75%–3.00%. She calculates the probability of a rate hikeas follows:
Ko cannow incorporate this probability of a Fed rate hike into her forecast ofshort-term US interest rates.
答案里的公式没看懂,求老师解析