Temporal Variation in the Interest-Rate Response to Money Announcements
V. Vance Roley, Simon M. Wheatley
NBER 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.
Document Object Identifier (DOI): 10.3386/w3471
Published: Roley, V. Vance and Simon M. Wheatley. "Shifts In The Interest-Rate Response To Money Announcements: What Can We Say About When They Occur?," Journal of Business and Economic Statistics, 1996, v14(1,Jan), 135-138.