The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money
Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in the measure of anticipated money can, in theory, eliminate this puzzle, but that improving the efficiency of an already unbiased measure cannot. We find, using Canadian as well as U.S. interest rate data, that correcting the downward bias in the survey measure reduces, but does not eliminate, the role of anticipated money.
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- V. Vance Roley, 1982. "The Response of Short-Term Interest Rates to Weekly Money Announcements," NBER Working Papers 1001, National Bureau of Economic Research, Inc.
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"Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements,"
NBER Working Papers
1181, National Bureau of Economic Research, Inc.
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- Thomas Urich & Paul Wachtel, 1983. "The Structure of Expectations of the Weekly Money Supply Announcement," NBER Working Papers 1090, National Bureau of Economic Research, Inc.
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- Michael T. Belongia & R.W. Hafer & Richard G. Sheehan, 1986. "A note on the temporal stability of the interest rate-weekly money relationship," Working Papers 1986-002, Federal Reserve Bank of St. Louis.
- Hein, Scott E, 1985. "The Response of Short-term Interest Rates to Weekly Money Announcements: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(2), pages 264-71, May.
- Roley, V Vance, 1983. "The Response of Short-Term Interest Rates to Weekly Money Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 344-54, August.
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