Effects of explicit FOMC policy rate guidance on interest rate expectations

We quantify the impact of explicit FOMC policy rate guidance announcements at the zero lower bound on Eurodollar interest rate futures. We find that they significantly reduced implied interest rates and led to a flattening of the yield curve.

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Year of publication:	2013
Authors:	Moessner, Richhild
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 170-173
Publisher:	Elsevier
Subject:	Monetary policy \| Central bank communication \| Policy rate guidance

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Type of publication:	Article
Classification:	E58 - Central Banks and Their Policies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709101