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

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.

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Year of publication:	2008
Authors:	Demiralp, Selva
Publisher:	Istanbul : TÜSİAD-Koç University Economic Research Forum
Subject:	Geldpolitik \| Erwartungstheorie \| Zinsstrukturtheorie \| Schatzpapier \| Schätzung \| Theorie \| USA \| Expectations Hypothesis \| Policy Path Revisions

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Series:	Working Paper ; 0802
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	573292248 [GVK] hdl:10419/45439 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	EconStor

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