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

Selva Demiralp

Economics Letters, 2008, vol. 101, issue 1, 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
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Citations: View citations in EconPapers (5)

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Working Paper: Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve (2008) Downloads
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