The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998

Thomas Mann and Richard Dowen

Journal of Business Finance & Accounting, 2004, vol. 31, issue 7‐8, 1125-1150

Abstract: Abstract: This study examines the response of T‐bill and T‐bond futures prices to weekly M1 announcements over the period March 1976 to November 1998 conditioned upon monetary operating procedures and the stance in monetary policy. In concurrence with previous studies, this study finds that unanticipated increases in M1 are negatively related to changes in T‐bill and T‐bond futures prices. However, when the data is sorted by monetary regime, the stance in monetary policy, and direction of money surprise, we find evidence to support the several competing theories historically suggested by Cornell (1983b) to explain the impact of money supply announcements.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.0306-686X.2004.00569.x

Related works:
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: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:31:y:2004:i:7-8:p:1125-1150

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X

Access Statistics for this article

Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker

More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().