This article uses principal component methods to assess the importance of changes in the federal funds rate in driving interest rate changes across a broad array of credit markets. We find that most of the variability in interest rate changes across these markets is explained by a small number...

Presentation to Financial Executives International, San Francisco, CA, April 15, 2010

“Expectations” is the Twenty-Second Henry Thornton Lecture, given by the author at the Department of Banking and Finance, City University Business School, London, England, on November 28, 2000.

Presentation at the 22nd Henry Thornton Lecture, City University Business School, London, England - Nov. 28, 2000

In 1980's, a new convention emerged in the economics profession - that central banks' primary, even sole, responsibility should be controlling consumer price inflation. By the 1990's, this view was gaining credibility in policy circles, and various countries mandated that their central banks...