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Money Supply Announcements and the Market's Perception of Federal Reserve Policy

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Author Info
Strongin, Steven
Tarhan, Vefa
Abstract

This paper investigates the reason why innovations in money-supply announcements cause interest rates to change. The paper empirically discriminates between the liquidity premium and the expected inflation hypotheses by directly taking into account investors expectations regarding the Federal Reserve's monetary policy stance. The results support the liquidity premium hypothesis, and the model provides an explanation for the observed time variation in the response of interest rates to money announcement surprises. Copyright 1990 by Ohio State University Press.

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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 22 (1990)
Issue (Month): 2 (May)
Pages: 135-53
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:mcb:jmoncb:v:22:y:1990:i:2:p:135-53

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  2. 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. [Downloadable!]
  3. Hakan Berument & Kamuran Malatyali, 1999. "Determinants of interest rates in Turkey," Discussion Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  4. Maged Shawky Sourial, 2002. "The Future of the Stock Market Channel In Egypt," Finance 0204002, EconWPA. [Downloadable!]
  5. O. David Gulley & Jahangir Sultan, 2003. "The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 199-209, January. [Downloadable!] (restricted)
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