Publication: Monetary policy surprises and the expectations hypothesis at the short end of the yield curve
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English
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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. (C) 2008 Elsevier B.V. All rights reserved.
Source:
Economics Letters
Publisher:
Elsevier Science Sa
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Subject
Economics