The reaction of interest rates to the employment report: the role of policy anticipations
AbstractInterest rates have reacted strongly to the monthly employment report in recent years. The authors document the reaction of rates to the report and provide evidence that it has been stronger since the mid-1980s than in earlier years. Evidently the report now has greater impact than formerly on expectations of where the Fed is going to move the federal funds rate. These expectations influence longer-term money market rates.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Federal Reserve Bank of Richmond in its journal Economic Review.
Volume (Year): (1991)
Issue (Month): Sep ()
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.:
- Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 7(1), pages 23-35, March.
- Falk, Barry L. & Orazem, Peter, 1985.
"The Money Supply Announcements Puzzle: A Comment,"
Staff General Research Papers
11100, Iowa State University, Department of Economics.
- Falk, Barry & Orazem, Peter F, 1985. "The Money Supply Announcements Puzzle: Comment," American Economic Review, American Economic Association, American Economic Association, vol. 75(3), pages 562-64, June.
- Gerald P. Dwyer, Jr. & R.W. Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
- Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 45(1), pages 84-102, February.
- repec:fth:prinin:367 is not listed on IDEAS
- Michael J. Fleming & Eli M. Remolona, 1997.
"What moves the bond market?,"
9706, Federal Reserve Bank of New York.
- Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 31-50.
- Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
- Dieter Hess, 2001. "Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 01-01, Center of Finance and Econometrics, University of Konstanz.
- Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 02-06, Center of Finance and Econometrics, University of Konstanz.
- Adrienne A. Kearney, 2003. "The Changing Probability of a Monetary Policy Response to Inflation and Employment Announcements," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 565-574, Fall.
- Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(3), pages 475-498, March.
- Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007.
"The impact of macroeconomic announcements on emerging market bonds,"
Emerging Markets Review, Elsevier,
Elsevier, vol. 8(1), pages 20-37, March.
- Jochen R. Andritzky & Geoffrey J. Bannister & Natalia T. Tamirisa, 2005. "The Impact of Macroeconomic Announcementson Emerging Market Bonds," IMF Working Papers 05/83, International Monetary Fund.
- Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
- Moura, Marcelo L. & GaiÃ£o, Rafael L., 2014. "Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 27(C), pages 114-144.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (William Perkins).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.