Demiralp, Selva; Yılmaz, Kamil - In: Journal of Macroeconomics 34 (2012) 2, pp. 404-418
This paper investigates the responsiveness of asset markets to monetary policy path revisions. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of longer term Treasury securities to path revisions is significantly asymmetric, the...