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The impact of new economic information on the volatility of short-term interest rates

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  • V. Vance Roley
  • Rick Troll

Abstract

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Suggested Citation

  • V. Vance Roley & Rick Troll, 1983. "The impact of new economic information on the volatility of short-term interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Feb, pages 3-15.
  • Handle: RePEc:fip:fedker:y:1983:i:feb:p:3-15:n:v.68no.2
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    File URL: http://www.kansascityfed.org/PUBLICAT/ECONREV/EconRevArchive/1983/1q83role-Feb.pdf
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    Cited by:

    1. V. Vance Roley & Carl E. Walsh, 1985. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," The Quarterly Journal of Economics, Oxford University Press, vol. 100(Supplemen), pages 1011-1039.
    2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 31-50.
    3. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. V. Vance Roley, 1986. "The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems," NBER Working Papers 1812, National Bureau of Economic Research, Inc.
    5. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.

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