FFTRFire Fighter
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The data employed in the US case are FFTR, FFER, money market interest rate of 1 month, and Treasury bill interest rates of 3 month, 6 month and 1 year maturities and the Treasury bond interest rates of 2, 3, 5, 7, 10 and 20 year maturities.
In line with this conclusion, once both lag and lead parameter values of FFTR are accommodated, 3 2 1 [[beta].
For instance, the change in FFER, in response to a 1 percentage point change in FFTR amounts to 87 bp compared to 47 bp of impact generated under stable economic period.