Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/45434 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Working Paper No. 0914
Verlag: 
TÜSİAD-Koç University Economic Research Forum, Istanbul
Zusammenfassung: 
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.
Schlagwörter: 
asymmetric monetary policy
yield curve
federal funds futures
JEL: 
E44
E52
Dokumentart: 
Working Paper

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