Monetary policy surprises and interest rates: evidence from the Fed funds futures markets
AbstractThis paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Bond rates' response to anticipated changes is essentially zero, while their response to unanticipated movements is large and highly significant. Surprise policy actions have little effect on near-term expectations of future actions, which helps explain the failure of the expectations hypothesis on the short end of the yield curve.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 99.
Date of creation: 2000
Date of revision:
Other versions of this item:
- 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.
- NEP-ALL-2000-05-08 (All new papers)
- NEP-FMK-2000-05-08 (Financial Markets)
- NEP-MON-2000-05-08 (Monetary Economics)
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