What’s Priced In: Current Market Expectations for Future Monetary Policy

(CEP News) - Markets are currently pricing in the following probabilities for future interest rate moves as of the close on Thursday:

FED - OIS Implied Rates (Note that Rates Cannot Be Cut Further)

Markets are pricing in a 3% chance of a 25bp cut by March 17, 2009.

Markets are pricing in a 100% chance of 25bp hike and a 6% chance of a 50bp hike by Dec. 15, 2009.

BOC - OIS Implied Rates

Markets are pricing in a 54% chance of a 25bp cut by April 21, 2009.

Markets are pricing in a 17% chance of a 25bp cut by Jan. 19, 2010.

BOJ - OIS Implied Rates (Note that Rates Cannot Be Cut by Further 25 Bps)

Markets are pricing in a 4% chance of a 25bp hike by March 17, 2009.

Markets are pricing in a 4% chance of a 25bp hike by Aug. 11, 2009.

RBA - OIS Implied Rates

Markets are pricing in a 100% chance of a 50bp cut and a 37% chance of a 75bp cut by April 7, 2009.

Markets are pricing in a 100% chance of a 100bp cut and a 54% chance of a 125bp cut by Oct. 6, 2009.

RBNZ - OIS Implied Rates

Markets are pricing in a 100% chance of a 50bp cut and a 99% chance of a 75bp cut by March 12, 2009.

Markets are pricing in a 100% chance of a 100bp cut and a 52% chance of a 125bp cut by Dec. 10, 2009.

BOE - SONIA Implied Rate

Markets are pricing in a 16% chance of a 25bp cut by April 9, 2009.

Markets are pricing in a 75% chance of a 25bp cut by Oct. 8, 2009.

ECB - EONIA Implied Rate

Markets are pricing in a 100% chance of a 25bp cut and a 47% chance of a 50bp cut by April 2, 2009.

Markets are pricing in a 100% chance of a 25bp cut and a 40% chance of a 50bp cut by Oct. 8, 2009.

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