Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era
AbstractThis article considers potential impacts of the intended and unintended federal funds rates on the slope of the Treasury yield curve during 1987.M8 to 2006.M1. A third-order autoregressive model is employed in empirical work to correct for serial correlation. The positive significant sign of the unintended federal funds rate suggests that interest rates are affected by the spread between the effective and intended federal funds rates. The impacts of the intended and unintended federal funds rates decline as the maturity increases. The findings are consistent with the rotating yield curve pattern (Kozicki and Sellon, 2005).
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 Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFL20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.