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- W2614525421 abstract "The financial industry uses OIS as market expectations of the average overnight rates, but standard term structure models that ignore FOMC meeting schedules explain the short-term OIS curve by risk premiums. We build a database to track the public information on FOMC schedules and introduce models to incorporate the information. Our models explain the OIS curve by expectations and show that the OIS curve inversion before the financial crisis reflects the expectation of the Fed's rate cuts. We present evidence that the Fed was behind the market expectation before the crisis but moved ahead of the expectation during the crisis." @default.
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- W2614525421 date "2017-01-01" @default.
- W2614525421 modified "2023-09-23" @default.
- W2614525421 title "Dynamics of the Expectation and Risk Premium in the OIS Term Structure" @default.
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- W2614525421 doi "https://doi.org/10.2139/ssrn.2968132" @default.
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