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:	2008-02
Authors:	Demiralp, Selva
Institutions:	İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
Subject:	Expectations Hypothesis \| Policy Path Revisions

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Extent:	application/pdf
Series:	Koç University-TUSIAD Economic Research Forum Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	11 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005727166