Abstract

While the use of money market derivative products was increasing, many research studies were published on how derivative products affect the implementation of monetary policies. In the theoretical framework of an interest rate forecasting model (Taylor rules),
we will use the generalised method of moments (GMM) to compare the influence of financial derivative products over the Federal monetary policy carried out from the year 2000 to 2015. By means of this analysis we may conclude that the implicit volatility of the derivatives markets is an explanatory variable of the behaviour of the short-term nominal interest rate. © 2016 Asociacion´ Cuadernos de Econom´ıa. Published by Elsevier Espana, ˜ S.L.U. All rights reserved.