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noemie · 2021年03月20日

NO.PZ2017121101000013

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.

如果(100-future price)-average of current target rate 是负数改如何处理呢?最后得到概率是降息概率么?

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Hertz_品职助教 · 2021年03月20日

嗨,努力学习的PZer你好:


嗨 同学你好~

  你讲的是对的哈~这是Inferring Market Expectations的知识点,100-futures price得到的是FFE,即市场预期的下次FOMC开会时FFE的值,它减去当前FFE小于0的话,说明预期是降息的。

  这个知识点的考查多是计算probability, 问题一般为“The probability of a 25bp interest rate hike at the next FOMC meeting”,即加息25bp的概率是多少,所以平时咱们遇到的题目并没有出现相减为负数的情况哈。希望能帮助到你~加油加油~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 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 follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate 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 = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 the FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%,请问the new target range of 2.75%–3.00%是怎么得出的?

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