Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45434
Authors: 
Demiralp, Selva
Yilmaz, Kamil
Year of Publication: 
2009
Series/Report no.: 
TÜSİAD-Koç University Economic Research Forum working paper series 0914
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.
Subjects: 
asymmetric monetary policy
yield curve
federal funds futures
JEL: 
E44
E52
Document Type: 
Working Paper

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