本研究旨在探討美國聯邦基準利率期貨（Fed Funds Futures）、美國SOFR利率交換（SOFR Over Night Indexed SWAP；SOFR OIS）、美國Term SOFR利率、美國國庫券（Treasury Bill）、台灣銀行間美元拆借市場（TAIFX）等五個金融市場對未來美國聯邦基準利率（Fed Funds Rate）預測能力的比較分析。
本研究收集了自2000年7月至2024年12各金融市場每日收盤資料，推導其利率預估值和實際值的差異來計算MAE和RMSE來比較各金融市場的預測能力，並同時運用F聯合檢定來判斷各金融市場的利率預估值是否為實際利率的不偏估計值。
研究結果顯示美國聯邦基準利率期貨、SOFR利率交換和美國國庫券為預測美國聯邦基準利率表現相對較佳的市場，其中美國聯邦基準利率期貨在預測三個月後的美國聯邦基準利率不論在何種利率環境其預測能力皆優於其他金融市場，SOFR利率交換在升息環境下預測一年後的利率有較佳的預測能力，而美國國庫券在降息環境下預測六個月和一年後的利率有較佳的預測能力。惟根據本研究F聯合檢定結果，任何市場在任何利率環境下及任何的預測天期，在99%的信賴水準之下，對美國聯邦基準利率的預測皆是存在偏誤。而本研究另外發現各金融市場的預測能力會隨著預測期間的縮短而上升，而全體金融市場在升息期間的預測能力優於降息期間。

This study investigates the effectiveness of predictions on the U.S. Federal Funds Rate across five markets：Federal Funds Futures、SOFR OIS、Term SOFR、U.S. Treasury Bill and the Taiwan Interbank USD Money Market. After the Federal Open Market Committee (FOMC) raised the Effective Federal Funds Rate (EFFR) by 525 basis points from 2022 through the first half of 2023, USD interest rate risk became a much more critical issue in banking risk management. However, since the Interest Rate Risk in the Banking Book (IRRBB) framework established by Taiwan's Financial Supervisory Commission assumes only a 225 basis point rate increase scenario, finding alternative mechanisms for USD interest rate risk control has become essential.
This study collected daily market data from 2000 to 2024 from these five markets to derive predictions of the U.S. Federal Funds Rate. The study then calculated prediction errors and used them to compute the Mean Absolute Error (MAE) and Root Mean Square Error (RMSE) to determine the superior market among each market under different interest rate scenarios and prediction periods. This study also employed F-tests to assess whether the predictions in each market constitute unbiased estimations of the U.S. Federal Funds Rate.
This study reveals that Federal Funds Futures provides the superior predictions for the U.S. Federal Funds Rate over 3-month periods across every rate scenario. The SOFR OIS market demonstrates superior prediction performance for 1-year forecasts in rate hiking scenarios, while the U.S. Treasury Bill market shows superior performance in predicting the U.S. Federal Funds Rate over 6-month and 1-year horizons in rate cutting scenarios. However, all markets provide biased estimations of the U.S. Federal Funds Rate. Additionally, this study demonstrates that prediction effectiveness improves as the prediction period shortens, and that prediction effectiveness is superior in rate hiking scenarios compared to rate cutting scenarios.

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