Identifying VARs Based on High Frequency Futures Data

Preprint

1 January 2002

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.307002

Abstract

Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future

Keywords

PARTIAL IDENTIFICATION
MONETARY POLICY
VECTOR AUTOREGRESSIONS

All Related Versions

Version 1, 2002-01-01, RePEc (Unconfirmed version)

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