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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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    1. Gunda-Alexandra Detmers & Dieter Nautz, 2012. "The information content of central bank interest rate projections: Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2012/03, Reserve Bank of New Zealand.
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    6. Boris Hofmann & Feng Zhu, 2013. "Central bank asset purchases and inflation expectations," BIS Quarterly Review, Bank for International Settlements, March.
    7. Stefania D'Amico & William English & David López-Salido & Edward Nelson, 2012. "The Federal Reserve's large-scale asset purchase programs: rationale and effects," Finance and Economics Discussion Series 2012-85, Board of Governors of the Federal Reserve System (U.S.).
    8. Zhongfang He, 2010. "Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy," Discussion Papers 10-11, Bank of Canada.
    9. 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.
    10. Richhild Moessner & William R. Nelson, 2008. "Central Bank Policy Rate Guidance and Financial Market Functioning," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 193-226, December.
    11. Puneet Chehal & Bharat Trehan, 2009. "Talking about tomorrow’s monetary policy today," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov9.
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