Keyword: Fed

Expected Fed Funds Rate Fed funds futures for January 2021 imply an expected rate of 1.27%. Click the Image to Enlarge

Fed Funds Rate – Target Probabilities at the Fed’s FOMC Jan. 29 Meeting Traders see a 13.3% probability of a 25-bps rate hike at the Fed’s FOMC January 29 meeting. Image: CME Group

12-Month Earnings Yield Less Fed Funds Rate The 12-month earnings yield less Fed funds rate is just back to its historical average. Image: KKR Global Macro

Chicago Fed National Activity Index and Recessions The Chicago Fed National Activity Index fall to -0.35 in December, and stayed at a negative reading. Anything negative is below-average growth. In recent history, anything at or below -0.7 (red line) was equivalent to a recession. “A zero value for the index indicates that the national economy is expanding…

U.S. Asset Correlations and Fed Balance Sheet Trends The correlations between U.S. asset returns and Fed balance sheet growth are generally inconsistent and dimishing over time. Image: J.P. Morgan

Atlanta Fed GDPNow U.S. Real GDP Estimate The GDPNow model estimate for U.S. real GDP growth is now 1.8% for 2019:Q4. Image: Federal Reserve Bank of Atlanta

S&P 500 Returns and Fed Balance Sheet This chart suggests the positive relationship between the Fed’s balance sheet expansion and S&P 500 returns. Image: Morgan Stanley Research

Fed’s Balance Sheet Composition Chart suggesting that the Fed should buy more Treasury bills and shift away from repo operations over time. Image: Deutsche Bank

Gold vs. Fed Funds Futures Chart showing the current divergence between gold and the implied Fed funds rate. Image: Longview Economics

Fed Funds Rate Expectations Muted inflation and moderation in job growth could support a Fed rate cut in June. Image: Oxford Economics