Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

C-Tier

Journal: Economics Letters

Year: 2008

Volume: 101

Issue: 1

Pages: 1-3

Authors (1)

Demiralp, Selva (Koç Üniversitesi)

Score contribution per author:

1.009 = (α=2.02 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

Authors (1)

Abstract

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