ユヤマ　トモノリ   YUYAMA Tomonori   湯山 智教    所属   専修大学  商学部    職種   准教授
言語種別	英語
発行・発表の年月	2009/12
形態種別	研究論文
査読	査読あり
標題	Using Survey Data to Correct the Bias in Policy Expectations Extracted from Fed Funds Futures
執筆形態	共著
掲載誌名	JOURNAL OF MONEY CREDIT AND BANKING
掲載区分	国外
出版社・発行元	WILEY-BLACKWELL
巻・号・頁	41(8),pp.1631-1647
著者・共著者	Hibiki Ichiue,Tomonori Yuyama
概要	Many studies estimate risk premiums on federal funds futures to extract monetary policy expectations by assuming that average forecast errors of the expectations are zero or that survey forecasts are good proxies for the expectations. These assumptions, however, may fail due to an unanticipated declining trend in the federal funds rate and to survey respondents' strategic behavior. Consequently, the premiums estimated under these assumptions may be biased. We propose a new method to estimate the premiums and find that the premiums have been often negative since 2000, which is generally consistent with the negative betas observed in the 2000s.
DOI	10.1111/j.1538-4616.2009.00270.x
ISSN	0022-2879/1538-4616