Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

Selva Demiralp

Economics Letters, 2008, vol. 101, issue 1, pages 1-3

Abstract: 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.

Keywords: Expectations; hypothesis; Policy; path; revisions (search for similar items in EconPapers)
Date: 2008

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V84 ... 3aa15ef836f08e5165a0
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:1:p:1-3

Access Statistics for this article

Economics Letters is edited by E. Maskin

More articles in Economics Letters from Elsevier
Series data maintained by Heidi Boesdal ().