文章基本信息

标题：Monetary Policy News and the Response of Non-Financial Commercial Paper Market Rates
本地全文：下载
作者：Richard Gregory ; Rafie K. Bhogozian
期刊名称：B Quest
电子版ISSN：1084-3981
出版年度：2010
出版社：Richards College of Business, University of West Georgia
摘要：This paper estimates the impact of monetary policy actions on non-financial commercial paper market yields. It uses data from the futures market for the federal funds rate to separate changes in the funds rate into anticipated and unanticipated components in order to provide insight into the efficiency of these markets and the degree to which the yields data supports the expectations hypothesis. It concludes that only the overnight commercial paper yield shows a significant response to changes in Federal Reserve policies, and then they exhibit nearly equivalent responses to both anticipated and unanticipated changes. Longer maturity paper exhibits reaction only to changes in the overnight commercial paper rate.