Monetary policy surprises and the expectations hypothesis at the short end of the yield curve
Economics Letters, 2008, vol. 101, issue 1, 1-3
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)
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Working Paper: Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:1:p:1-3
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