NO.PZ201601050100001706
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：
A is correct.
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.
中文解析：
表述1正确，大型金融和银行机构月底的活动，往往会导致实际联邦基金利率的“下降”
表述2是不正确的，因为从联邦基金期货价格推断的概率通常没有很强的预测能力，特别是长期来看。
陈述3是不正确的，因为要推导美联储利率行动的概率，市场参与者要看联邦基金期货的定价，它与FFE利率挂钩，FFE是指存款机构之间实际交易的利率，而不是美联储的目标联邦基金利率。
讲义P323说FFE是actually transacted between depository institution ，not Fed‘s target funds rate， 为什么呢？
市场间，银行之间的借贷不是FFR吗？为什么是FFE呢？
美联储的taeget 是不是为FFR，FFE是市场的投资者对于未来利率的预期，但是这里又出现了真实的银行的贷款利率影响fed fund futures的价格，这个逻辑没搞清楚
