Monetary policy surprises and interest rates: Evidence from the Fed funds futures market

• 成果类型: Article
• 署名作者: Kuttner, KN
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00055-1
• 发表日期: 2001
• 页码: 523-544
• 关键词: Monetary policy; Fed Funds futures; term structure of interest rates

摘要

This paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for Federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Interest rates' response to anticipated target rate changes is small, while their response to unanticipated changes is large and highly significant. These responses are generally consistent with the expectations hypothesis of the term structure. Surprise target rate changes have little effect on expectations of future actions, however, which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve. (C) 2001 Published by Elsevier Science B.V.