Temporal Variation in the Interest-Rate Response to Money Announcements / V. Vance Roley, Simon M. Wheatley.

Format:

Book

Author/Creator:

Roley, V. Vance.

Contributor:

National Bureau of Economic Research.

Wheatley, Simon M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3471.

NBER working paper series no. w3471

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

A number of studies find significant temporal variation in the interest-rate response to money announcement surprises. An unresolved question, however, is whether the response changes immediately as different policy regimes are adopted, or whether the change is gradual reflecting the establishment of Federal Reserve credibility. This paper conducts tests that allow for both discrete shifts in the interest-rate response to money announcements and a gradual evolution in this response. The evidence is consistent with the hypothesis that temporal variation in the interest-rate response is limited to discrete shifts in October 1979, October 1982, arid February 1984.

Notes:

Print version record

October 1990.