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The Response of Term Rates to Fed Announcements
7 references·16 citing·44 second hop
The Response of Term Rates to Fed Announcements (2004)The Response of Term Rates to Fed Announc…Multiple Structural Change Models: A Simulation Analysis (2006)Multiple Structural Change Mo…Day-to-Day Monetary Policy and the Volatility of the Federal Funds Rate (2002)Day-to-Day Monetary Policy an…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Expectations, Open Market Operations, and Changes in the Federal Funds Rate (2001)Expectations, Open Market Ope…Open mouth operations (2000)Open mouth operationsFederal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …The impact of sentiment on emerging stock markets (2021)The impact of sentiment on em…Monetary policy announcements and market interest rates’ response: Evidence from China (2020)Monetary policy announcements…Commodity Price Responses to Monetary Policy Surprises (2014)Commodity Price Responses to …The effectiveness of monetary policy in steering money market rates during the financial crisis (2012)The effectiveness of monetary…THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS (2012)THE EFFECT OF MONETARY POLICY…RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy (2012)RBA monetary policy communica…Testing for the cartel in OPEC: non-cooperative collusion or just non-cooperative? 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(2018)Interest rates and the conduct of monetary policy (1991)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)The overnight interbank market: Evidence from the G-7 and the Euro zone (2003)Discipline and Liquidity in the Interbank Market (2008)Liquidity regulation and the implementation of monetary policy (2017)Some Lessons from the Yield Curve (1995)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence (2000)On Stock Market Returns and Monetary Policy (1997)The Pre-FOMC Announcement Drift (2012)Financial Heterogeneity and the Investment Channel of Monetary Policy (2020)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Breaking the panels: An application to the GDP per capita (2005)Instability of return prediction models (2006)Energy consumption and GDP revisited: A panel analysis of developed and developing countries (2007)
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References

  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 2006Multiple Structural Change Models: A Simulation Analysis310 cited
  • 2000Open mouth operations249 cited
  • 2001Expectations, Open Market Operations, and Changes in the Federal Funds Rate102 cited
  • 2002Day-to-Day Monetary Policy and the Volatility of the Federal Funds Rate95 cited

Cited by

  • 2011Testing for the cartel in OPEC: non-cooperative collusion or just non-cooperative?99 cited
  • 2007A Long‐Run Non‐Linear Approach to the Fisher Effect84 cited
  • 2003Monetary Policy Announcements and Money Markets: A Transatlantic Perspective82 cited
  • 2005Communication and Decision-Making by Central Bank Committees: Different Strategies, Same Effectiveness?82 cited
  • 2012The effectiveness of monetary policy in steering money market rates during the financial crisis80 cited
  • 2014Commodity Price Responses to Monetary Policy Surprises79 cited
  • 2003The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements

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56 cited
  • 2010Monetary policy predictability in the euro area: an international comparison52 cited
  • 2004Declining required reserves, funds rate volatility, and open market operations43 cited
  • 2012RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy41 cited
  • 2012THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS39 cited
  • 2020Monetary policy announcements and market interest rates’ response: Evidence from China38 cited
  • 2021The impact of sentiment on emerging stock markets37 cited
  • 2009Gradualism, Transparency and the Improved Operational Framework: A Look at the Overnight Volatility Transmission31 cited
  • 2008BANK EFFICIENCY AND THE EFFECTIVENESS OF MONETARY POLICY29 cited
  • 2009Explaining the US bond yield conundrum28 cited