TY  - JOUR
AU  - Deaves,Richard
AU  - Melino,Angelo
AU  - Pesando,James E.
TI  - The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements:  The "Puzzle" of Anticipated Money
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2125
PY  - 1987
Y2  - 1987
UR  - http://www.nber.org/papers/w2125
L1  - http://www.nber.org/papers/w2125.pdf
N1  - Author contact info:
Angelo Melino
E-Mail: angelo.melino@utoronto.ca

James Pesando
Institute for Policy Analysis
University of Toronto
140 St. George Street
Toronto, Ont  M5S 1A1  CANADA
E-Mail: pesando@chass.utoronto.ca
AB  - 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.
ER  -