Comparing MPM Results with the Eurodollar Futures Market

This chapter assesses the value of the MPM forecasts described in Chapter 4 compared with the FFR implied by the corresponding three month eurodollar interest rate future at the time the forecasts were made. This is achieved by comparing MPM results with historical data on eurodollar futures going back to 1987. This year is taken as the starting point of comparisons since the volume or liquidity of eurodollar futures trading prior to 1987 was insufficient to provide a reliable indication of market expectations of the future direction of the FFR.