In this paper we test the expectations hypothesis empirically by analyzing changes in three month Treasury rates after FOMC meetings. If the expectations hypothesis holds, then there should be a one-to-one relationship between changes in the T-Bill rate and changes in path revisions over the...

When examined for the period 1985-1992 as a whole, the impact of changes in the targeted Fed funds rate on U.S. treasury bill rates has been weaker than during previous periods. The period, however, should be viewed as three separate regimes. First, I show significant differences between the...