Anticipations of Monetary Policy in Financial MarketsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2001 - Capital market - 36 pages |
Common terms and phrases
ability of financial Aff₁ Andrews test anticipate monetary policy April autoregressive process autoregressive properties average B₁ basis points behavior Bomfim Brian Sack changes in market contemporaneous contract Spec dynamic Economics Discussion Series effective federal funds Egon Zakrajsek equation estimated eurodollar futures evident expectations hypothesis expected federal February federal funds futures federal funds rate financial markets FOMC policy FOMC's funds futures contracts funds rate changes funds rate movements funds rate target future changes future policy Granger causality horizon improved predictive lagged market interest rates market participants market rates market yields markets to anticipate months ahead NAIRU October percent policy changes policy moves policy rules Policy Surprises predict federal funds predictive power regression serial correlation shift Shiller short-term interest rate short-term rates significant Six-Month Treasury Bill small sample bias specification Table term premium term structure three-month Treasury bill Treasury bill yields Two-Year Treasury yield curve yield spread