Temporal Variation in the Interest-Rate Response to Money Announcements

Working Paper No. 3471 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 reflect...

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Bibliographic Details
Published in:NBER Working Paper Series 1990-10, p.3471
Main Authors: V Vance Roley, Wheatley, Simon M
Format: Article
Language:English
Subjects:
Credibility
Economic theory
Federal funding
Federal funds rate
Federal Reserve monetary policy
Heat treating
Hypotheses
Inflation
Interest rates
Reserve requirements
Simulation
Time series
Treasury bills
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Summary:Working Paper No. 3471 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.
ISSN:0898-2937
DOI:10.3386/w3471