Interest rates and the spreads between interest rates are widely regarded as useful indicators of the future level of economic activity. This paper shows that when these series are divided into (i) an ordinary time series process and (ii) the effects of extraordinary disturbances, only the...

Asset prices may react to news through changes in expected monetary policy. We examine whether economic news directly affects expected changes in monetary policy, measured by changes in federal funds rate futures prices. Because these prices depend on monthly averages of the effective funds...

This paper examines whether there is a systematic relationship between FOMC decisions and publicly available data that would potentially allow the public to anticipate FOMC policy changes. We characterize each FOMC decision as a move to tighten, ease, or leave policy unchanged and use ordered...