Monetary policy surprises and the expectations hypothesis at the short end 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
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 1, p. 1-3
Publisher:	Elsevier
Subject:	Expectations hypothesis Policy path revisions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355414