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坏呼呼嘿嘿 · 2023年07月22日

请问第三句话里这俩rate 有什么区别

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NO.PZ202212300200004801

问题如下:

Which of Whitacre’s three statements about fed funds futures is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

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.

请问第三句话里这俩rate 有什么区别

2 个答案

pzqa31 · 2023年07月28日

嗨,努力学习的PZer你好:


statement1说的是大型金融机构或者银行机构的典型月末活动经常会引起FFE rate的下降。

大型金融机构在月末的时候对冲利率波动的需求会上升,对fed fund futures的需求会上升,使得fed fund futures的价格上升,对应的FFE rate就会下降(fed fund futures price =100-FFE rate)。这个点是实务市场的现象,就简单了解即可哈。

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pzqa31 · 2023年07月23日

嗨,爱思考的PZer你好:


FFE:指的是The effective federal funds rate,即存款机构之间实际交易的利率。

federal funds target rate,是由FOMC(联邦公开市场委员会)决定,并通过公开市场操作达成。美联储通过下次加息或者降息25bp,来引导FFE达到federal funds target rate。

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胖干儿 · 2023年07月28日

请问这个题Statement 1是什么意思呢?

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