Asymmetric Effects of Fed Policy on Interest Rates

This paper estimates asymmetric effects of monetary policy actions on interest rates. I find that the response of interest rates to monetary policy surprises is large and highly significant in the low volatility state. In contrast, interest rates' response to monetary policy is insignificant in the high volatility periods during which the turbulence in the market hinders the ability of market participants to discern the monetary policy stance

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Year of publication:	2014
Authors:	Wang, Dennis
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Geldpolitik \| Monetary policy \| Zins \| Interest rate \| Zinspolitik \| Interest rate policy \| Zentralbank \| Central bank

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