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 25% chance of a 25bp cut by April 29, 2009.

Markets are pricing in a 100% chance of 25bp hike and a 41% chance of a 50bp hike by Jan. 27, 2010.

BOC - OIS Implied Rates

Markets are pricing in a 60% chance of a 25bp cut by April 21, 2009.

Markets are pricing in an 11% chance of a 25bp hike by Jan. 19, 2010.

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

Markets are pricing in a 3% chance of a 25bp hike by April 30, 2009.

Markets are pricing in a 1% chance of a 25bp hike by Oct. 14, 2009.

RBA - OIS Implied Rates

Markets are pricing in an 80% chance of a 25bp cut by May 5, 2009.

Markets are pricing in a 100% chance of a 50bp cut and a 20% chance of a 75bp cut by Nov. 3, 2009.

RBNZ - OIS Implied Rates

Markets are pricing in a 100% chance of a 25bp cut and a 60% chance of a 50bp cut by April 30, 2009.

Markets are pricing in a 100% chance of a 25bp cut and an 87% chance of a 50bp cut by Jan. 28, 2010.

BOE - SONIA Implied Rate

Markets are pricing in a 26% chance of a 25bp cut by May 7, 2009.

Markets are pricing in a 49% chance of a 25bp hike by Nov. 5, 2009.

ECB - EONIA Implied Rate

Markets are pricing in a 35% chance of a 25bp cut by May 7, 2009.

Markets are pricing in a 21% chance of a 25bp hike by Nov. 5, 2009.

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