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Anticipations of Monetary Policy in Financial Markets
16 references·6 citing·42 second hop
Anticipations of Monetary Policy in Financial Markets (2001)Anticipations of Monetary Policy in Finan…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…The term structure of very short-term rates: New evidence for the expectations hypothesis (2000)The term structure of very sh…Optimal Monetary Policy Inertia (1999)Optimal Monetary Policy Inert…On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)On biases in tests of the exp…Monetary Policy Shifts and Long-Term Interest Rates (1996)Monetary Policy Shifts and Lo…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Estimating the Open Market Desk's Daily Reaction Function (1993)Estimating the Open Market De…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes (1990)Expectations and the Treasury…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 Predictive Power of the Term Structure During Recent Monetary Regimes (1988)The Predictive Power of the T…The information in the term structure: Some further results (1988)The information in the term s…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Predictions of Short-Term Rates and the Expectations Hypothesis (2010)Predictions of Short-Term Rat…The term structure of commercial paper rates☆ (2006)The term structure of commerc…Macro Factors and the Affine Term Structure of Interest Rates (2005)Macro Factors and the Affine …Monetary Policy in the Information Economy (2003)Monetary Policy in the Inform…The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns: Cross-Country Evidence and Sensitivity Analyses (2001)The Effect of Monetary Policy…Monetary Policy in a Changing World: Rising Role of Expectations and the Anticipation Effect (2001)Monetary Policy in a Changing…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)A multivariate model of strategic asset allocation (2002)Financial Markets and the Real Economy (2005)Short- Term Interest Rates as Predictors of Inflation (2021)The Information in Long-Maturity Forward Rates (1987)The federal funds rate and the channels of monetary transmission (1989)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)Trend Inflation, Taylor Principle, and Indeterminacy (2009)Capital regulation and monetary policy with fragile banks (2013)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Econometric policy evaluation: A critique (1976)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Discretion versus policy rules in practice (1993)One Money, One Market: Estimating the Effect of Common Currencies on Trade (1999)Learning about monetary policy rules (2002)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2010)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)ARCH modeling in finance (1992)Term Structure Dynamics in Theory and Reality (2003)Affine Term Structure Models (2010)Countercyclical currency risk premia (2013)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)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)
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1999Optimal Monetary Policy Inertia998 cited
  • 1984The information in the term structure659 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1997On biases in tests of the expectations hypothesis of the term structure of interest rates385 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 2000The term structure of very short-term rates: New evidence for the expectations hypothesis188 cited
  • 1996Monetary Policy Shifts and Long-Term Interest Rates175 cited
  • 1988The Predictive Power of the Term Structure During Recent Monetary Regimes163 cited
  • 1988The information in the term structure: Some further results131 cited
  • 1993

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Estimating the Open Market Desk's Daily Reaction Function
94 cited
  • 1990Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes66 cited
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    • 2006The term structure of commercial paper rates☆35 cited
    • 2001The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns: Cross-Country Evidence and Sensitivity Analyses27 cited
    • 2005Macro Factors and the Affine Term Structure of Interest Rates25 cited
    • 2003Monetary Policy in the Information Economy21 cited
    • 2010Predictions of Short-Term Rates and the Expectations Hypothesis15 cited
    • 2001Monetary Policy in a Changing World: Rising Role of Expectations and the Anticipation Effect13 cited