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The policy anticipation hypothesis : evidence from the federal funds futures market

Burger, John D. - In: Contemporary economic policy : a journal of Western … 22 (2004) 4, pp. 544-554

Persistent link: https://www.econbiz.de/10002397070

Expected repo specialness costs and the Treasury auction cycle

Keane, Frank - 1995

Persistent link: https://www.econbiz.de/10000917739

Using survey data to correct the bias in policy expectations extracted from fed funds futures

Ichiue, Hibiki; Yuyama, Tomonori - In: Journal of money, credit and banking : JMCB 41 (2009) 8, pp. 1631-1647

Persistent link: https://www.econbiz.de/10003907146

Monetary policy surprises and the expectations hyothesis at the short of the yield curve

Demarialp, Selva (contributor) - 2008

We test the expectations hypothesis by analyzing changes in three month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions. -- Expectations Hypothesis ; Policy...

Persistent link: https://www.econbiz.de/10003735169