The Response of Market Interest Rates to Discount Rate Changes

Michael J. Dueker

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Michael Dueker finds empirical evidence to suggest that the response of the three-month Treasury bill rate to a discount rate change varies with the magnitude of the discount change, the Federal Reserve's operating procedure and the unemployment rate.

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1983Limited-Dependent and Qualitative Variables in Econometrics 1985Asset Returns, Discount Rate Changes, and Market Efficiency 1988The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates 1984The impact of discount rate changes on market interest rates 1998The information content of discount rate announcements: What is behind the announcement effect?1984Discount rate changes and the foreign exchange market

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2004The effects of monetary policy changes on market interest rates in Greece: An event study approach

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