Lecture 14 - Managing Nondeposit Funds

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EXAM - possible questions include know characteristics of alternative sources of nondeposit funds from Ch. 13 notes; know how to determine the probability of a fed funds target rate change from the fed funds futures; know how different securities are affected in discussion on "flight to quality" examples and graphs. Click on link to lecture 14 notes below and print for class.

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Print the following analysis about TED spreads and flights to quality and the effect of the October 2013 government shutdown. 

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From the following notes and problems you should KNOW (1) how to calculate the probability of a federal funds target rate change, and (2) to interpret expected average federal funds rates from the prices of 30-day fed funds futures.  See recent quotes at http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html

 

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KNOW how USD LIBOR is calcuated.  See file below. 

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OPTIONAL: NOT ON EXAM:    For a detailed analysis of LIBOR and other international market benchmark or reference rates see “LIBOR: Origins, Economics, Crisis, Scandal, and Reform,” David Hou and David Skeie, FRBNY Staff Report No. 667, March 2014, at http://www.newyorkfed.org/research/staff_reports/sr667.pdf

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