Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve

This file is part of IDEAS, which uses RePEc data

Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve

Author Info

Selva Demiralp () (Koç University)

Additional information is available for the following registered author(s):

Selva Demiralp

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

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

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 11 pages
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:koc:wpaper:0802

Contact details of provider:
Postal: College of Administrative Sciences and Economics, Koç, University, İstinye, 80860 İstanbul
Phone: (90+212)-229-3006 x464
Fax: (90+212)-229-1971
Email:
Web page: http://erf.ku.edu.tr
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Sahika Tokel).

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

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-02-23 (All new papers)
NEP-MAC-2008-02-23 (Macroeconomics)
NEP-MON-2008-02-23 (Monetary Economics)

References listed on IDEAS
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.:

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.
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:
- Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York. [Downloadable!]

Full references

Statistics
Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2008-7-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.