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The Response of Short-Term Interest Rates to Weekly Money Announcements

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Author Info
V. Vance Roley
Abstract

The response of short-term interest rates to weekly money announcements since the Federal Reserve's change in operating procedures on October 6, 1979, is examined in this paper. The results indicate that the response increased significantly since October 1979, and that it varies nonlinearly according to the relation of money growth to the Federal Reserve!s long-run targets. The results also suggest that the increase in the response and the rise in the volatility of unanticipated money have contributed about equally to the large rise in interest rate volatility during this period.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1001.

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Date of creation: Dec 1983
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Handle: RePEc:nbr:nberwo:1001

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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.:
  1. Pesando, James E, 1979. "On the Random Walk Characteristics of Short- and Long-Term Interest Rates in an Efficient Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(4), pages 457-66, November. [Downloadable!] (restricted)
  2. Grossman, Jacob, 1981. "The "Rationality" of Money Supply Expectations and the Short-Run Response of Interest Rates to Monetary Surprises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(4), pages 409-24, November. [Downloadable!] (restricted)
  3. Pesando, James E, 1975. "A Note on the Rationality of the Livingston Price Expectations," Journal of Political Economy, University of Chicago Press, vol. 83(4), pages 849-58, August. [Downloadable!] (restricted)
  4. Mishkin, Frederic S, 1982. " Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," Journal of Finance, American Finance Association, vol. 37(1), pages 63-72, March. [Downloadable!] (restricted)
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  5. Benjamin M. Friedman, 1980. "Survey Evidence on The Rationality of Interest Rate Expectations," NBER Working Papers 0261, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Paul Evans, 1981. "Why have interest rates been so volatile?," Proceedings, Federal Reserve Bank of San Francisco, pages 47-67.
  7. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May. [Downloadable!] (restricted)
  8. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February. [Downloadable!] (restricted)
  9. Taylor, John B, 1975. "Monetary Policy during a Transition to Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 83(5), pages 1009-21, October. [Downloadable!] (restricted)
  10. Friedman, Benjamin M., 1980. "Survey evidence on the `rationality' of interest rate expectations," Journal of Monetary Economics, Elsevier, vol. 6(4), pages 453-465, October. [Downloadable!] (restricted)
  11. V. Vance Roley, 1982. "Weekly money supply announcements and the volatility of short-term interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Apr, pages 3-15. [Downloadable!]
  12. Paul Evans, 1981. "Why have interest rates been so volatile?," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 7-20. [Downloadable!]
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(explanations, 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.)

  1. Takatoshi Ito & V. Vance Roley, 1987. "News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?," NBER Working Papers 1853, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  3. Richard Deaves & Angelo Melino & James E. Pesando, 1987. "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money," NBER Working Papers 2125, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 185-207, December. [Downloadable!] (restricted)
  5. George W. Kutner & James A. Seifert, 1989. "The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 13-20. [Downloadable!]
  6. William C. Melton & V. Vance Roley, 1991. "Federal Reserve Behavior Since 1980: A Financial Markets Perspective," NBER Working Papers 2608, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Michael Smirlock & Jess B. Yawitz, 1984. "Asset Returns, Discount Rate Changes and Market Efficiency," NBER Working Papers 1530, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. V. Vance Roley & Carl E. Walsh, 1986. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," NBER Working Papers 1181, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Douglas Elmendorf & Mary Hirshfeld & David Weil, 1992. "The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920," NBER Working Papers 4234, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Grant McQueen & V. Vance Roley, 1990. "Stock Prices, News, and Business Conditions," NBER Working Papers 3520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. V. Vance Roley, 1987. "U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations," NBER Working Papers 1858, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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