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Monetary policy surprises and the expectations hyothesis at the short of the yield curve

Selva Demarialp
We test the expectations hypothesis by analyzing changes in three month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions. -- Expectations Hypothesis ; Policy Path Revisions
Year of publication:
2008
Other Persons: Demarialp, Selva (contributor)
Publisher: Istanbul
Subject: Geldpolitik | Monetary policy | Erwartungsbildung | Expectation formation | Zinsstruktur | Yield curve | Staatspapier | Government securities | Schätzung | Estimation | Theorie | Theory | USA | United States
freely available
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www.ku.edu.tr
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