The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money

Richard Deaves, Angelo Melino and James Pesando

No 2125, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in the measure of anticipated money can, in theory, eliminate this puzzle, but that improving the efficiency of an already unbiased measure cannot. We find, using Canadian as well as U.S. interest rate data, that correcting the downward bias in the survey measure reduces, but does not eliminate, the role of anticipated money.

Date: 1987-01
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published as Deaves, Richard, Angelo Melino, and James E. Pesando. "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money," Journal of Monetary Economics, Vol. 19, No. 3, May 1987, pp. 393-404.

Downloads: (external link)
http://www.nber.org/papers/w2125.pdf (application/pdf)

Related works:
Journal Article: The response of interest rates to the Federal Reserve's weekly money announcements: The 'puzzle' of anticipated money (1987)
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:nbr:nberwo:2125

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w2125

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().