Article ID Journal Published Year Pages File Type
965525 Journal of Macroeconomics 2012 15 Pages PDF
Abstract
► We investigate the responsiveness of asset markets to monetary policy path revisions. ► Path revisions are derived from federal funds futures contracts. ► The response of longer term Treasury securities to path revisions is significantly asymmetric. ► The magnitude of the response increases during tightenings and decreases during easings.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Asymmetric response to monetary policy surprises at the long-end of the yield curve
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