Asymmetric Response to Monetary Policy Surprises at the Long-End of the Yield Curve

Selva Demiralp and Kamil Yilmaz ()

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

Abstract: This paper provides a dynamic analysis of the responsiveness of asset markets to monetary policy path revisions. In an era of increased transparency and gradualism in policy making, one might expect an increased response to path revisions in asset markets as the policy actions become more predictable over longer horizons. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of Treasury securities to path revisions is significantly asymmetric, increasing during cycles of tightenings and declining during easings. This is consistent 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)
Pages: 38 pages
Date: 2009-12
New Economics Papers: this item is included in nep-mac and nep-mon
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Related works:
Journal Article: Asymmetric response to monetary policy surprises at the long-end of the yield curve (2012)
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