Add to ORKGThis paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Bond rates' response to anticipated changes is essentially zero, while their response to unanticipated movements is large and highly significant. Surprise policy actions have little effect on near-term expectations of future actions, which helps explain the failure of the expectations hypothesis on the short end of the yield curve.Monetary policy ; Interest rates ; Federal funds market (United States)
Several recent studies have reached quite different conclusions about which variable is the best ind...
A major puzzle in financial economics is the apparent drastic inconsis-tency of U.S. data with the e...
In this paper we examine the impact of the forecasting errors arising from a monetary policy shock a...
This paper examines the impact of U.S. monetary policy surprises on U.S. mortgage rates. The policy ...
This paper uses a yield curve model to perform a kind of “event study ” – with the objective of und...
A large body of literature has failed to find conclusive evidence that the expectations theory of th...
The ability of monetary policy to affect long-term interest rates is of central importance for econo...
Abstract: This paper contributes to a recent literature that tries to filter exogenous monetary poli...
A number of recent papers have used short-maturity financial instruments to measure expectations of ...
We examine the impact and possible pillovers effects of unanticipated monetary policy on internation...
On April 18, 2001 US Federal Reserve Open Market Committee (FOMC) surprised financial markets by low...
The monetary policy shocks have been widely regarded to have effects on the financial markets. Befor...
This paper examines the response of the term structure of interest rates to weekly money announcemen...
We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets...
The chapters in this dissertation study three issues related to the interaction of monetary policy a...
Several recent studies have reached quite different conclusions about which variable is the best ind...
A major puzzle in financial economics is the apparent drastic inconsis-tency of U.S. data with the e...
In this paper we examine the impact of the forecasting errors arising from a monetary policy shock a...
This paper examines the impact of U.S. monetary policy surprises on U.S. mortgage rates. The policy ...
This paper uses a yield curve model to perform a kind of “event study ” – with the objective of und...
A large body of literature has failed to find conclusive evidence that the expectations theory of th...
The ability of monetary policy to affect long-term interest rates is of central importance for econo...
Abstract: This paper contributes to a recent literature that tries to filter exogenous monetary poli...
A number of recent papers have used short-maturity financial instruments to measure expectations of ...
We examine the impact and possible pillovers effects of unanticipated monetary policy on internation...
On April 18, 2001 US Federal Reserve Open Market Committee (FOMC) surprised financial markets by low...
The monetary policy shocks have been widely regarded to have effects on the financial markets. Befor...
This paper examines the response of the term structure of interest rates to weekly money announcemen...
We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets...
The chapters in this dissertation study three issues related to the interaction of monetary policy a...
Several recent studies have reached quite different conclusions about which variable is the best ind...
A major puzzle in financial economics is the apparent drastic inconsis-tency of U.S. data with the e...
In this paper we examine the impact of the forecasting errors arising from a monetary policy shock a...