Monetary policy surprises and the expectations hypothesis at the short end of the yield curve
AbstractWe test the expectations hypothesis by analyzing changes in three-month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 101 (2008)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Expectations hypothesis Policy path revisions;
Other versions of this item:
- Selva Demiralp, 2008. "Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 0802, Koc University-TUSIAD Economic Research Forum.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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