Asymmetric response to monetary policy surprises at the long-end of the yield curve

Selva Demiralp and Kamil Yilmaz ()

Journal of Macroeconomics, 2012, vol. 34, issue 2, 404-418

Abstract: This paper investigates the responsiveness of asset markets to monetary policy path revisions. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of longer term Treasury securities to path revisions is significantly asymmetric, the magnitude of which increases during tightenings and decreases during easings. These findings blend nicely with the earlier literature that documents asymmetric effects of monetary policy on output.

Keywords: Asymmetric monetary policy; Yield curve; Federal funds futures (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Asymmetric Response to Monetary Policy Surprises at the Long-End of the Yield Curve (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:34:y:2012:i:2:p:404-418

DOI: 10.1016/j.jmacro.2012.03.001

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