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Title:Monetary policy surprises and the expectations hyothesis at the short of the yield curve PDF Logo
Authors:Demiralp, Selva
Issue Date:2008
Series/Report no.:TÜSİAD-Koç University Economic Research Forum working paper series 0802
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.
Subjects:Expectations Hypothesis
Policy Path Revisions
JEL:E43
Document Type:Working Paper
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

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