Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes

Keywords

Federal funds, Treasury, Excess reserves, Predictive power, Monetary economics

References

• Why interest rates react to money announcements: An explanation from the foreign exchange marketCharles Engel, Jeffrey A. Frankel — 1984
• Weekly money supply announcements and the volatility of short-term interest ratesV. Vance Roley — 1982
• Federal Reserve Behavior Since 1980: a Financial Markets PerspectiveWilliam Melton, V. Vance Roley — 1988
• The Behavior of the Spread between Treasury Bill Rates and Private Money Market Rates Since 1978Timothy Q. Cook, Thomas A. Lawler — 1983
• MARKET PERCEPTIONS OF FEDERAL RESERVE POLICY AND THE WEEKLY MONETARY ANNOUNCEMENTSGikas A. Hardouvelis — 1984
• Changing interest rate responses to money announcements: 1977–1983Jan Loeys — 1985
• Forward Rates and Future Policy: Interpreting the Term Structure of Interest RatesRobert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz — 1983
• LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OFLars Peter Hansen — 1982
• Management of Excess Cash: Practices and DevelopmentsRavindra Kamath, Shahriar Khaksari, Heidi Hylton Meier — 1985
• Money Supply Announcements and Interest Rates: Another ViewBradford Cornell — 1983
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityHalbert White — 1980
• Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?N. Gregory Mankiw, Lawrence H. Summers, Laurence Weiss — 1984
• A Micro Model of the Federal Funds MarketThomas S. Y. Ho, Anthony Saunders — 1985
• The Response of Short-Term Interest Rates to Weekly Money AnnouncementsV. Vance Roley — 1982
• The Response of Short-Term Interest Rates to Weekly Money Announcements: NoteV. Vance Roley — 1983
• 優越的地位の濫用規制の来し方・行く末 : 覚書 (和田健夫名誉教授記念号)哲 根岸 — 2021

Cited by

• Bond yield spreads and short-term interest rate movementsA. Ismail, Roshanim Koris — 2003
• The Bias in the Conventional Test of the Expectations Theory: Resolving the Anomalies at the Very Short End of the Term StructureDaniel L. Thornton — 2000
• Essays on monetary policy and financial marketsHardik A. Marfatia — 2013
• El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés españolaMaría‐Isabel Martínez‐Serna, Eliseo Navarro Arribas — 2002
• Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest RatesDaniel L. Thornton — 2008
• Interest Rate Expectations and the Slope of the Money Market Yield CurveTimothy Q. Cook, Thomas K. Hahn — 1990
• The Relationship between the Federal Funds Rate and the Fed's Federal Funds Rate Target: Is it Open Market or Open Mouth Operations?Daniel L. Thornton — 2000
• Do Interventions Smooth Interest RatesAndreas M. Fischer — 2000
• Another Look at Yield Spreads: The Role of LiquidityDong Heon Kim — 2002
• Interest Rate Targeting and the Dynamics of Short-Term RatesPierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi — 1998
• On the Relationship Between the Very Short Forward and the Spot Interest RateIichiro Uesugi, Guy M. Yamashiro — 2003
• Market Anticipations of Monetary Policy ActionsWilliam Poole, Robert H. Rasche, Daniel L. Thornton — 2002
• Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United StatesAmir Kia — 2011
• Predictions of short-term rates and the expectations hypothesisMassimo Guidolin, Daniel L. Thornton — 2018
• Direct Tests of the Expectations Theory of the Term Structure: Survey Expectations, the Term Premium and Coefficient BiasesDavid J.C. Smant — 2011
• The link between monetary policy and stock and bond markets: evidence from the federal funds futures contractO. David Gulley, Jahangir Sultan — 2003
• Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?Heather M. Anderson — 1999
• Liquidity premia and interest rate parityLudger Linnemann, Andreas Schabert — 2015
• A note on nonlinear dynamics in the Spanish term structure of interest ratesVicente Esteve — 2006
• Persistence of Stock Return Volatility in CanadaA. L Calvet, Abdul Rahman — 2009

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