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

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  • Selva Demiralp

    ()
    (Koç University)

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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File URL: http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_0802.pdf
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Bibliographic Info

Paper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD 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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Keywords: Expectations Hypothesis; Policy Path Revisions;

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  1. 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.
  2. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
  3. 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.
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Cited by:
  1. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
  2. 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.
  3. Seth B. Carpenter & Selva Demiralp, 2011. "Volatility, money market rates, and the transmission of monetary policy," Finance and Economics Discussion Series 2011-22, Board of Governors of the Federal Reserve System (U.S.).

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