Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve
AbstractWe 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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Bibliographic InfoPaper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 0802.
Length: 11 pages
Date of creation: Feb 2008
Date of revision:
Expectations Hypothesis; Policy Path Revisions;
Other versions of this item:
- Demiralp, Selva, 2008. "Monetary policy surprises and the expectations hypothesis at the short end of the yield curve," Economics Letters, Elsevier, vol. 101(1), pages 1-3, October.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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)
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.:
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KoÃ§ University-TUSIAD Economic Research Forum Working Papers
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- Demiralp, Selva & Yılmaz, Kamil, 2012. "Asymmetric response to monetary policy surprises at the long-end of the yield curve," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 404-418.
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