Matt Raskin, along with several co-authors (Richard Crump, Emanuel Moench, William O’Boyle, Carlo Rosa, and Lisa Stowe), has published a series on measuring policy interest rate expecations on the NY Fed’s Liberty Street Economic Blog.
These blog posts provide an excellent discussion of how to interpret market and survey-based indicators of interest rate expectations. For example, the authors note, “Market prices provide timely information on policy expectations. But as we emphasized in our previous post, they can deviate from investors’ expectations of the most likely path because they embed risk premiums…”
By the way, Matt Raskin recently returned to Hopkins to complete his PhD after leaving a few years ago to work at the New York Fed. He is now an Assistant Vice President in the Markets Group, and I can attest that Matt’s analysis played an important role in policy discussions on a number of occasions over my recent time at the Fed.
Good work by Matt and his co-authors.