English, Article edition: The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market John D. Burger

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market
Author
  • John D. Burger
Physical Description
  • article
Notes
  • In an era of increasingly transparent policy making by the Federal Reserve, market participants appear to interpret each economic announcement based on the implication for monetary policy. As a result, when macroeconomic news arrives economic agents revise their expectations of upcoming policy decisions and interest rates move accordingly. This article provides empirical support for this policy anticipation hypothesis utilizing the Federal funds futures market to proxy for policy expectations. The results indicate that once one controls for the role of policy anticipation the impact of many announcements on bond yields becomes statistically insignificant. (JEL "E4", "E5", "G1") Copyright 2004 Western Economic Association International.
  • RePEc:bla:coecpo:v:22:y:2004:i:4:p:544-554
Language
  • English
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