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Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

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Author Info
Demiralp, Selva

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Abstract

We 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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File URL: http://www.sciencedirect.com/science/article/B6V84-4S7JFT8-3/2/9b3b6af169a43aa15ef836f08e5165a0
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 1 (October)
Pages: 1-3
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Handle: RePEc:eee:ecolet:v:101:y:2008:i:1:p:1-3

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Related research
Keywords: Expectations hypothesis Policy path revisions;

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References listed on IDEAS
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.:
  1. Demiralp, Selva & Jorda, Oscar, 2004. "The Response of Term Rates to Fed Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 387-405, June.
  2. Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
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  3. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-12-12.

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