A note on the effect of expected changes in monetary policy on long-term interest rates

Hany S. Guirguis () and Christos . Giannikos
Additional contact information
Hany S. Guirguis: Manhattan College, http://www.manhattan.edu/academics/business/econ_fin/faculty/hany.guirguis.shtml
Christos . Giannikos: Columbia University and City University of New York, http://www0.gsb.columbia.edu/

Journal of Applied Economics, 2007, vol. X, pages 99-114

Abstract: The ability of monetary policy to affect long-term interest rates is of central importance for economics and finance. Several recent studies have shown that long-term interest rates are virtually unaffected by monetary policy. This paper develops a statistical methodology to identify the expected and unexpected changes in monetary policy as measured by the federal funds rate. The empirical evidence shows that expected changes in the funds rate cause stronger and more significant movements in the long-term rates. Further, ignoring such asymmetry can erroneously generate the insignificant responses of long-term interest rates to the changes in the monetary policy.

Keywords: Long-term interest rate; monetary policy; asymmetry (search for similar items in EconPapers)
JEL-codes: E5 C5 (search for similar items in EconPapers)

Downloads: (external link)
http://www4.cema.edu.ar/pjae/m/146GuirgGiann200705 (application/pdf)
Access to full text is restricted to subscribers. Individual articles may be purchased through PayPal.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Journal of Applied Economics is edited by Germán Coloma and Mariana Conte Grand and Jorge M. Streb

More articles in Journal of Applied Economics from Universidad del CEMA
Contact information at EDIRC.
Series data maintained by Valeria Dowding ().