Predicting the Fed’s actions for fun and profit

2025-03-10

data finance

What’s the federal funds rate

P (h i k e) = \frac{[E F F R (end of month) - E F F R (start of month)]}{25 basis points}

Days to meeting	No. meetings covered	Mean accuracy	Mean confidence
10	18	1.0	0.95
20	18	0.94	0.89
30	18	1.0	0.86
40	18	0.94	0.89
50	19	0.88	0.86
60	19	0.83	0.85

Days to meeting	No. meetings covered	Mean accuracy	Mean confidence
10	18	1.0	0.94
20	18	0.94	0.88
30	17	1.0	0.85
40	17	0.93	0.84
50	9	1.0	0.78
60	6	1.0	0.72

P (h i k e) = P (25bp s h i k e) + P (50bp s h i k e) + P (75bp s h i k e) + \dots

P (c u t) = P (25bp s c u t) + P (50bp s c u t) + P (75bp s c u t) + \dots

P (h o l d) = 1 - P (h i k e) - P (c u t)