|
PureBytes Links
Trading Reference Links
|
That calculation is not quite correct because you MUST INCLUDE WEEKENDS AND
HOLIDAYS IN THE CALCULATION. Friday counts three times (or four if Monday is
a holiday) each week. For this month, you do not need to go through all of
that since there is no meeting in July, we can use the July contract as a
full proxy for what the rate will be at the end of June (assuming no
intrameeting move). As I write, July futures are at 93.44, suggesting an
average effective rate for July of 6.56%. That means it is pricing in 6/25
or 24% risk of a rate hike since the current rate is 6.50%.]
Important note here. This does not account for any seasonality. You might
not get the same number using the June contract since it involves quarter
and half year end, which probably has a seasonality that involves a tighter
funds rate. This would make the odds look higher for the June contract than
it really is.
Interesting point -- as of a week ago, Bloomberg had polled 29 economists
that work for Primary Dealers. NOT ONE EXPECTED A RATE HIKE. I think the
interesting thing is that the market still suggests a reasonable risk of a
hike, even if the economists do not. That, my friends, is a divergence.
Steve Poser
---
Steven W. Poser, President
Poser Global Market Strategies Inc.
http://www.poserglobal.com
swp@xxxxxxxxxxxxxxx
Tel: 201-995-0845
Fax: 201-995-0846
-----Original Message-----
From: listmanager@xxxxxxxxxxxxxxx [mailto:listmanager@xxxxxxxxxxxxxxx]On
Behalf Of trader
Sent: Friday, June 23, 2000 3:17 AM
To: realtraders@xxxxxxxxxxxxxxx
Cc: Steven W. Poser; Mike
Subject: [RT] RE: Fed Funds and probability of hike rate
Thanks to all for the clear explanations.
Here is a link "The Fed Funds Rate, the Only Forecaster Worth Its Salt"
that can be a bit useful.
http://www.thestreet.com/comment/economics/794018.html
Regards,
Alberto
|