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Citations for "Market anticipations of monetary policy actions"

by William Poole & Robert H & Rasche & Daniel L. Thornton

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  1. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
  2. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
  3. Jeff Moore & Richard Austin, 2002. "The behavior of federal funds futures prices over the monetary policy cycle," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 45-61.
  4. Lavan Mahadeva, 2007. "A model of market surprises," Bank of England working papers 327, Bank of England.
  5. Christopher J. Neely & S. Rubun Dey, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 417-464.
  6. Iris Biefang-Frisancho Mariscal & Peter Howells, 2004. "Monetary Policy Transparency:Too Good to be True?," Working Papers 0405, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  7. Ivando Silva De Faria & Helder Ferreira De Mendonça, 2011. "Financial Market Reactions To Thebrazilian Central Bank’S Decisions," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  8. Paul Hubert, 2015. "Revisiting the Greenbook’s relative forecasting performance," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 151-179.
  9. David Beckworth & Kenneth P. Moon & J. Holland Toles, 2012. "Can Monetary Policy Influence Long-Term Interest Rates? It Depends," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1080-1096, October.
  10. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, EconWPA.
  11. Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  12. Thornton, Daniel-L, 2004. "Testing the Expectations Hypothesis: Some New Evidence for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
  13. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  14. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
  15. DE CEUSTER, Marc J.K. & LI, Jie & ZHANG, Hairui, 2012. "Did federal funds target rate changes affect the market value of insurance companies?," Working Papers 2012027, University of Antwerp, Faculty of Applied Economics.
  16. Shu Wu, 2008. "Monetary Policy And Long-Term Interest Rates," Contemporary Economic Policy, Western Economic Association International, vol. 26(3), pages 398-408, 07.
  17. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
  18. Daniel L. Thornton, 2005. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Papers 2004-010, Federal Reserve Bank of St. Louis.
  19. Tuysuz, Sukriye, 2007. "The effects of a greater central bank credibility on interest rates level and volatility response to news in the U.K," MPRA Paper 5263, University Library of Munich, Germany.
  20. Iris Biefang-Frisancho Mariscal & Peter Howells, 2006. "Monetary Policy Transparency in the UK:The Impact of Independence and Inflation Targeting," Working Papers 0601, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  21. Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers 31, Department of Economics, College of William and Mary.
  22. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
  23. Kevin L. Kliesen & Frank A. Schmid, 2006. "Macroeconomic news and real interest rates," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 133-144.
  24. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2008. "Geography or skills: what explains Fed Wachters' forecast accuracy of US monetary policy?," Discussion Papers 2008/11, Free University Berlin, School of Business & Economics.
  25. 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.
  26. Aleksandar Murdzhev & Marc Tomljanovich, 2006. "What Color is Alan Greenspan's Tie? How Central Bank Policy Announcements Have Changed Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 571-593, Fall.
  27. James D. Hamilton, 2009. "Daily Changes in Fed Funds Futures Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 567-582, 06.
  28. Daniel L. Thornton, 2009. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Working Papers 2009-037, Federal Reserve Bank of St. Louis.
  29. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
  30. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
  31. Peter Lildholdt & Anne Vila-Wetherilt, 2004. "Anticipation Of Monetary Policy In UK Financial Markets," Royal Economic Society Annual Conference 2004 20, Royal Economic Society.
  32. TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany.
  33. Wasim Shahid Malik & Musleh-ud Din, 2008. "Monetary Policy Transparency in Pakistan: An Independent Analysis," PIDE-Working Papers 2008:44, Pakistan Institute of Development Economics.
  34. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.
  35. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
  36. Papadamou, Stephanos, 2013. "Market anticipation of monetary policy actions and interest rate transmission to US Treasury market rates," Economic Modelling, Elsevier, vol. 33(C), pages 545-551.
  37. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1066-1080, November.
  38. Daniel L. Thornton, 2005. "When did the FOMC begin targeting the federal funds rate? what the verbatim transcripts tell us," Working Papers 2004-015, Federal Reserve Bank of St. Louis.
  39. Daniel L. Thornton, 2007. "Open market operations and the federal funds rate," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 549-570.
  40. Sarno, Lucio & Thornton, Daniel L, 2002. "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers 3225, C.E.P.R. Discussion Papers.
  41. Carin van der Cruijsen & Sylvester Eijffinger, 2007. "The economic impact of central bank transparency: a survey," DNB Working Papers 132, Netherlands Central Bank, Research Department.
  42. Thornton, Daniel L., 2005. "Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2541-2556, October.
  43. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  44. Selva Demiralp, 2001. "Monetary policy in a changing world: rising role of expectations and the anticipation effect," Finance and Economics Discussion Series 2001-55, Board of Governors of the Federal Reserve System (U.S.).
  45. Paul Hubert, 2009. "An Empirical Review of Federal Reserve’s Informational Advantage," Documents de Travail de l'OFCE 2009-03, Observatoire Francais des Conjonctures Economiques (OFCE).
  46. William R. Emmons & Aeimit K. Lakdawala & Christopher J. Neely, 2006. "What are the odds? option-based forecasts of FOMC target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 543-562.
  47. Andrea Monticini & Giacomo Vaciago, 2007. "Are Euro Interest Rates led by FED Announcements?," Money Macro and Finance (MMF) Research Group Conference 2006 16, Money Macro and Finance Research Group.
  48. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
  49. Siklos, Pierre & Bohl , Martin, 2006. "Policy words and policy deeds: the ECB and the euro," Research Discussion Papers 2/2006, .
  50. Eric T. Swanson, 2004. "Federal Reserve transparency and financial market forecasts of short-term interest rates," Finance and Economics Discussion Series 2004-06, Board of Governors of the Federal Reserve System (U.S.).
  51. Iris Biefang-Frisancho Mariscal & Peter Howells, 2005. "Monetary Policy Transparency and Uncertainty: A Comparison between the Bank of England and the Bundesbank/ECB," Working Papers 0508, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  52. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2011. "Geography, skills or both: What explains Fed watchers' forecast accuracy of US monetary policy?," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 420-437, September.
  53. Vivek B. Arora, 2007. "Monetary Policy Transparency and Financial Market Forecasts in South Africa," IMF Working Papers 07/123, International Monetary Fund.
  54. repec:spo:wpmain:info:hdl:2441/3pot7260lh88lrfhrhvs85lh2f is not listed on IDEAS
  55. Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Papers 0229, Banco de España;Working Papers Homepage.
  56. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
  57. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
  58. Kobayashi, Teruyoshi, 2009. "Announcements and the effectiveness of monetary policy: A view from the US prime rate," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2253-2266, December.
  59. Iris Biefang-Frisancho Mariscal & Peter Howells, 2004. "Monetary Policy Transparency:Lessons from Germany and the Eurozone," Working Papers 0410, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  60. Berument, Hakan & Froyen, Richard, 2009. "Monetary policy and U.S. long-term interest rates: How close are the linkages?," Journal of Economics and Business, Elsevier, vol. 61(1), pages 34-50.
  61. Siklos, Pierre & Bohl, Martin, 2006. "Policy words and policy deeds : the ECB and the euro," Research Discussion Papers 2/2006, Bank of Finland.
  62. Daniel L. Thornton, 2008. "The unusual behavior of the federal funds and 10-year Treasury rates: a conundrum or Goodhart’s Law?," Working Papers 2007-039, Federal Reserve Bank of St. Louis.
  63. Marie Musard-Gies, 2005. "Do ECB's statements steer short-term and long-term interest rates in the euro zone?," Money Macro and Finance (MMF) Research Group Conference 2005 56, Money Macro and Finance Research Group.
  64. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
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