tailieunhanh - Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market

News on costs and prices has been mixed. Oil prices fell in May and, like me, you may have noticed the price of petrol at the pumps declining slightly; however, there is the risk that the combination of continuing supply tightness combined with buoyant international demand will lead to renewed upward pressure. In any case families will have to face increased domestic gas and electricity prices, following the rise in oil prices earlier in the year. Other commodity prices have fallen slightly since the start of the year, despite being still nearly thirty-five per cent higher than a year. | Monetary Policy Surprises and Interest Rates Evidence from the Fed Funds Futures Market Kenneth N. Kuttner February 10 2000 Thanks to Antulio Bomfim Mike Fleming Jim Moser and Vance Roley for their comments and to Mike Anderson for excellent research assistance. The views expressed here are soley those of the author and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System. Monetary Policy Surprises and Interest Rates Evidence from the Fed Funds Futures Market Abstract This paper estimates the impact of monetary policy actions on bill note and bond yields using data from the futures market for Federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Bond rates response to anticipated changes is essentially zero while their response to unanticipated movements is large and highly significant. Surprise policy actions have little effect on near-term expectations of future actions which helps explain the failure of the expectations hypothesis on the short end of the yield curve. Jel classification E4 G1. Keywords monetary policy term structure Fed funds futures. Kenneth Kuttner Federal Reserve Bank of New York 33 Liberty Street New York NY 10045 1 Introduction How market interest rates respond to Federal Reserve actions is a topic of great interest to financial market participants and policymakers alike. Bondholders naturally are concerned with the effects of Fed policy on bond prices. And because the first link in the transmission of Federal Reserve policy is from the Fed funds target to other interest rates the issue is an important one for assessing the likely effectiveness of monetary policy. Conventional wisdom is that an increase in the target Fed funds rate leads to an immediate increase in market interest rates and a fall in bond prices yet evidence for this view is elusive. Cook and Hahn 1989 documented a strong response in the 1970s but regressions

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