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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
Selva Demiralp () (Koç University)

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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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Publisher Info
Paper provided by TUSIAD-Koc University Economic Research Forum in its series TÜSİAD-Koç University Economic Research Forum Working Papers with number 0802.

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Length: 11 pages
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:koc:wpaper:0802

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Postal: College of Administrative Sciences and Economics, Koç, University, İstinye, 80860 İstanbul
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Related research
Keywords: Expectations Hypothesis; Policy Path Revisions;

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Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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  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 2009-12-2.

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