Publication: Monetary policy surprises and the expectations hypothesis at the short end of the yield curve
Program
KU-Authors
KU Authors
Co-Authors
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
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
Publisher
Elsevier Science Sa
Subject
Economics
Citation
Has Part
Source
Economics Letters
Book Series Title
Edition
DOI
10.1016/j.econlet.2008.03.018