{"id":"https://openalex.org/W3121597746","doi":"https://doi.org/10.1002/fut.20187","title":"Recovering market expectations of FOMC rate changes with options on federal funds futures","display_name":"Recovering market expectations of FOMC rate changes with options on federal funds futures","publication_year":2005,"publication_date":"2005-10-19","ids":{"openalex":"https://openalex.org/W3121597746","doi":"https://doi.org/10.1002/fut.20187","mag":"3121597746"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20187","doi":"https://doi.org/10.1002/fut.20187","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20187","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1025521","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5113764312","display_name":"John B. Carlson","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210109900","display_name":"Federal Reserve Bank of Cleveland","ror":"https://ror.org/01wxdvj03","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608","https://openalex.org/I4210109900"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"John B. Carlson","raw_affiliation_strings":["Federal Reserve Bank of Cleveland, Cleveland, Ohio"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Federal Reserve Bank of Cleveland, Cleveland, Ohio","institution_ids":["https://openalex.org/I4210109900"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002017348","display_name":"Ben R. Craig","orcid":"https://orcid.org/0000-0003-0667-1422","observed_orcids":["https://orcid.org/0000-0003-0667-1422"]},"institutions":[{"id":"https://openalex.org/I4210109900","display_name":"Federal Reserve Bank of Cleveland","ror":"https://ror.org/01wxdvj03","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608","https://openalex.org/I4210109900"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ben R. Craig","raw_affiliation_strings":["Federal Reserve Bank of Cleveland, Cleveland, Ohio"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Federal Reserve Bank of Cleveland, Cleveland, Ohio","institution_ids":["https://openalex.org/I4210109900"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018589536","display_name":"William R. Melick","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I166972335","display_name":"Kenyon College","ror":"https://ror.org/04ckqgs57","country_code":"US","type":"education","lineage":["https://openalex.org/I166972335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"William R. Melick","raw_affiliation_strings":["Kenyon College, Gambier, Ohio"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Kenyon College, Gambier, Ohio","institution_ids":["https://openalex.org/I166972335"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5113764312"],"corresponding_institution_ids":["https://openalex.org/I4210109900"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":2.8516,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":{"value":0.9261519,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"25","issue":"12","first_page":"1203","last_page":"1242"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6410999894142151,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6410999894142151,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.15649999678134918,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.10490000247955322,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/federal-funds-futures","display_name":"federal funds futures","score":0.7929999828338623},{"id":"https://openalex.org/keywords/futures-options","display_name":"futures options","score":0.7080000042915344},{"id":"https://openalex.org/keywords/market-expectations","display_name":"market expectations","score":0.6000000238418579},{"id":"https://openalex.org/keywords/federal-reserve-policy","display_name":"Federal Reserve policy","score":0.5350000262260437},{"id":"https://openalex.org/keywords/discrete-choice-models","display_name":"discrete choice models","score":0.4620000123977661},{"id":"https://openalex.org/keywords/data-release","display_name":"data release","score":0.6909999847412109},{"id":"https://openalex.org/keywords/interest-rate-forecasting","display_name":"interest rate forecasting","score":0.4099999964237213}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8602171540260315},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7150619029998779},{"id":"https://openalex.org/C2778333325","wikidata":"https://www.wikidata.org/wiki/Q2012704","display_name":"Federal funds","level":3,"score":0.6414168477058411},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5830327272415161},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5722302794456482},{"id":"https://openalex.org/C189722922","wikidata":"https://www.wikidata.org/wiki/Q667481","display_name":"Open market operation","level":3,"score":0.549340546131134},{"id":"https://openalex.org/C99656134","wikidata":"https://www.wikidata.org/wiki/Q2912993","display_name":"Ordinary least squares","level":2,"score":0.5260748267173767},{"id":"https://openalex.org/C2983622608","wikidata":"https://www.wikidata.org/wiki/Q2298435","display_name":"Futures market","level":3,"score":0.511454701423645},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4175627827644348},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.40522530674934387},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3820052444934845},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.3373177945613861},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1002/fut.20187","doi":"https://doi.org/10.1002/fut.20187","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20187","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1025521","doi":"https://doi.org/10.2139/ssrn.1025521","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1025521","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:fip:fedcwp:0507","doi":null,"is_oa":false,"landing_page_url":"https://www.clevelandfed.org/~/media/content/newsroom%20and%20events/publications/working%20papers/2005/wp%200507%20recovering%20market%20expectations%20of%20fomc%20rate%20changes%20pdf.pdf?la=en","pdf_url":"https://www.clevelandfed.org/~/media/content/newsroom%20and%20events/publications/working%20papers/2005/wp%200507%20recovering%20market%20expectations%20of%20fomc%20rate%20changes%20pdf.pdf?la=en","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.360.4862","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.360.4862","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.clevelandfed.org/research/workpaper/2005/WP0507.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.397.3391","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.397.3391","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://economics.kenyon.edu/melick/Research/WorkingPaper20050620.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.659.5224","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.659.5224","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://hkimr.org/uploads/seminars/269/sem_paper_0_142_carlson-paper280205.pdf","raw_type":"text"},{"id":"pmh:oai:digital.kenyon.edu:economics_publications-1023","doi":null,"is_oa":false,"landing_page_url":"https://digital.kenyon.edu/economics_publications/23","pdf_url":null,"source":{"id":"https://openalex.org/S4377196661","display_name":"Digital Kenyon (Kenyon College)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I166972335","host_organization_name":"Kenyon College","host_organization_lineage":["https://openalex.org/I166972335"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Faculty Publications","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1025521","doi":"https://doi.org/10.2139/ssrn.1025521","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1025521","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W2127058","https://openalex.org/W562247549","https://openalex.org/W1492316113","https://openalex.org/W1579971961","https://openalex.org/W1928257634","https://openalex.org/W1970176361","https://openalex.org/W2009944438","https://openalex.org/W2026454108","https://openalex.org/W2049892195","https://openalex.org/W2059552362","https://openalex.org/W2065574513","https://openalex.org/W2090017049","https://openalex.org/W2092922676","https://openalex.org/W2101266017","https://openalex.org/W3121938565","https://openalex.org/W3122500406","https://openalex.org/W3123011181","https://openalex.org/W3124453408"],"related_works":["https://openalex.org/W1544588984","https://openalex.org/W1928257634","https://openalex.org/W147243462","https://openalex.org/W2531868976","https://openalex.org/W2064926874","https://openalex.org/W2055049585","https://openalex.org/W7055167653","https://openalex.org/W7095090846","https://openalex.org/W7051558591","https://openalex.org/W1487671174"],"abstract_inverted_index":{"Abstract":[0],"This":[1,60],"article":[2],"demonstrates":[3],"how":[4],"options":[5,76],"on":[6,78,132,157],"federal":[7],"funds":[8],"futures,":[9,87],"which":[10],"began":[11],"trading":[12],"in":[13,65],"March":[14],"2003,":[15],"can":[16],"be":[17],"used":[18,106,146],"to":[19,67,107,147],"recover":[20,108],"the":[21,40,44,53,68,89,128,133,149,158],"implied":[22,54],"probability":[23],"density":[24],"function":[25],"(PDF)":[26],"for":[27,47,75,110,118,127],"future":[28],"Federal":[29],"Open":[30],"Market":[31],"Committee":[32],"(FOMC)":[33],"interest\u2010rate":[34],"outcomes.":[35,164],"The":[36,102],"discrete":[37],"nature":[38],"of":[39,52,121,130,151,161],"choices":[41],"made":[42],"by":[43],"FOMC":[45,112,123,140],"allows":[46,126],"a":[48],"very":[49],"straightforward":[50],"recovery":[51,62,72],"PDF":[55,71],"using":[56],"ordinary\u2010least\u2010squares":[57],"(OLS)":[58],"estimation.":[59],"simple":[61],"method":[63],"stands":[64],"contrast":[66],"relatively":[69],"complicated":[70],"techniques":[73],"developed":[74],"written":[77],"assets":[79],"such":[80],"as":[81,96,114,116],"equities,":[82],"foreign":[83],"exchange,":[84],"or":[85],"commodity":[86],"where":[88],"underlying":[90],"prices":[91],"are":[92,145],"most":[93],"appropriately":[94],"modeled":[95],"being":[97],"drawn":[98],"from":[99],"continuous":[100],"distributions.":[101],"OLS":[103],"estimation":[104,120],"is":[105],"PDFs":[109,117],"single":[111],"meetings":[113],"well":[115],"joint":[119],"multiple":[122],"meetings,":[124],"and":[125,138,154],"imposition":[129],"restrictions":[131],"recovered":[134,143],"probabilities,":[135],"both":[136],"within":[137],"across":[139],"meetings.":[141],"Finally,":[142],"probabilities":[144],"assess":[148],"impact":[150],"data":[152],"releases":[153],"Fed":[155],"communication":[156],"perceived":[159],"likelihood":[160],"actual":[162],"policy":[163],"\u00a9":[165],"2005":[166,174],"Wiley":[167],"Periodicals,":[168],"Inc.":[169],"Jrl":[170],"Fut":[171],"Mark":[172],"25:1203\u20131242,":[173]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2021-02-01T00:00:00"}