NO.PZ2017121101000013
问题如下：
Sarah Ko, a private wealth adviser in Singapore, is developing a short- term interest rate forecast for her private wealth clients who have holdings in the US fixed-income markets. Ko needs to understand current market expectations for possible upcoming central bank (i.e., US Federal Reserve Board) rate actions. The current price for the fed funds futures contract expiring after the next FOMC meeting is 97.175. The current federal funds rate target range is set between 2.50% and 2.75%.
Explain how Ko can use this information to understand potential movements in the current federal funds rate.
选项：
解释：
First, Ko knows that the FFE rate implied by the futures contract price of 97.175 is 2.825% (= 100 – 97.175). This is the rate that market participants 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% FFE rate implied by the futures signals a fairly high chance that the FOMC will increase rates by 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike as follows:
(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%
Ko can now incorporate this probability of a Fed rate hike into her forecast of short-term US interest rates.
中文解析：
97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。
P = expected FFE rate - current federal funds rate / 25bp
= [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25bp =0.80
Effective Federal Fund rate implied by the fed funds futures contract is 100-97.175=2.825%; current federal funds rate=(2.50%+2.75%)/2=2.625%
(FFE-current federal funds rate)/25bps=(2.825%-2.625%)/25bps=80%
Ko could expect a 80% probability interest rate hike after the next FOMC meeting.
