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The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money / Richard Deaves, Angelo Melino, James E. Pesando.
- Format:
- Book
- Author/Creator:
- Deaves, Richard.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2125.
- NBER working paper series no. w2125
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1987.
- Summary:
- Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in the measure of anticipated money can, in theory, eliminate this puzzle, but that improving the efficiency of an already unbiased measure cannot. We find, using Canadian as well as U.S. interest rate data, that correcting the downward bias in the survey measure reduces, but does not eliminate, the role of anticipated money.
- Notes:
- Print version record
- 1987.
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