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The reaction of interest rates to the employment report: the role of policy anticipations

Author

Listed:
  • Timothy Cook
  • Steven Korn

Abstract

Interest rates have reacted strongly to the monthly employment report in recent years. The authors document the reaction of rates to the report and provide evidence that it has been stronger since the mid-1980s than in earlier years. Evidently the report now has greater impact than formerly on expectations of where the Fed is going to move the federal funds rate. These expectations influence longer-term money market rates.

Suggested Citation

  • Timothy Cook & Steven Korn, 1991. "The reaction of interest rates to the employment report: the role of policy anticipations," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-12.
  • Handle: RePEc:fip:fedrer:y:1991:i:sep:p:3-12:n:v.77no.5
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    File URL: https://fraser.stlouisfed.org/files/docs/publications/frbrichreview/rev_frbrich199109.pdf
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    References listed on IDEAS

    as
    1. Falk, Barry & Orazem, Peter F, 1985. "The Money Supply Announcements Puzzle: Comment," American Economic Review, American Economic Association, vol. 75(3), pages 562-564, June.
    2. Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 23-35, March.
    3. Gerald P. Dwyer & R. W. Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007. "The impact of macroeconomic announcements on emerging market bonds," Emerging Markets Review, Elsevier, vol. 8(1), pages 20-37, March.
    2. Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 84-102, February.
    3. Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
    4. Moura, Marcelo L. & GaiĆ£o, Rafael L., 2014. "Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 114-144.
    5. Adrienne A. Kearney, 2003. "The Changing Probability of a Monetary Policy Response to Inflation and Employment Announcements," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 565-574, Fall.
    6. Smales, Lee A. & Yang, Yi, 2015. "The importance of belief dispersion in the response of gold futures to macroeconomic announcements," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 292-302.
    7. 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.
    8. Aiyagari, S. Rao & Braun, R. Anton, 1998. "Some models to guide monetary policymakers," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 48(1), pages 1-42, June.
    9. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
    10. repec:eee:jbfina:v:86:y:2018:i:c:p:127-142 is not listed on IDEAS
    11. 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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