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Effects of explicit FOMC policy rate guidance on interest rate expectations

  • Moessner, Richhild
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    We quantify the impact of explicit FOMC policy rate guidance announcements at the zero lower bound on Eurodollar interest rate futures. We find that they significantly reduced implied interest rates and led to a flattening of the yield curve.

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    File URL: http://www.sciencedirect.com/science/article/pii/S016517651300356X
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 121 (2013)
    Issue (Month): 2 ()
    Pages: 170-173

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    Handle: RePEc:eee:ecolet:v:121:y:2013:i:2:p:170-173
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    7. Andersson, Magnus & Hofmann, Boris, 2009. "Gauging the effectiveness of quantitative forward guidance: evidence from three inflation targeters," Working Paper Series 1098, European Central Bank.
    8. Bernanke, Ben S., 2012. "Monetary Policy since the Onset of the Crisis : a speech at the Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming, August 31, 2012," Speech 645, Board of Governors of the Federal Reserve System (U.S.).
    9. Puneet Chehal & Bharat Trehan, 2009. "Talking about tomorrow’s monetary policy today," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov9.
    10. John Williams & Eric Swanson, 2012. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," 2012 Meeting Papers 462, Society for Economic Dynamics.
    11. Zhongfang He, 2010. "Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy," Discussion Papers 10-11, Bank of Canada.
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