Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve

Selva Demiralp

TÜSİAD-Koç University Economic Research Forum Working Papers from TUSIAD-Koc University Economic Research Forum

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)
JEL-codes: E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
Date: 2008-02
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Related works:
Journal Article: Monetary policy surprises and the expectations hypothesis at the short end of the yield curve (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:koc:wpaper:0802

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