NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Fed and Interest Rates: A High-Frequency Identification

John H. Cochrane, Monika Piazzesi

NBER Working Paper No. 8839
Issued in March 2002
NBER Program(s):   AP   EFG   ME

We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets in daily data. These shock series avoid the omitted variable, time-varying parameter, and orthogonalization problem of monthly VARs, and do not impose the expectations hypothesis. We find surprisingly large and persistent responses of bond yields to these shocks. 10 year rates rise as much as 8/10 of a percent to a one percent target shock. The usual view that monetary policy only temporarily raises long term rates and influences inflation would lead one to predict a negative long rate response.

download in pdf format
   (156 K)

email paper

This paper is available as PDF (156 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w8839

Published: Cochrane, John H. and Monica Piazzesi. "The Fed And Interest Rates - A High-Frequency Identification," American Economic Review, 2002, v92(2,May), 90-91.

Users who downloaded this paper also downloaded these:
Rigobon and Sack w8794 The Impact of Monetary Policy on Asset Prices
Hamilton and Jordà w7847 A Model for the Federal Funds Rate Target
Diebold, Piazzesi, and Rudebusch w11089 Modeling Bond Yields in Finance and Macroeconomics
Cochrane and Piazzesi w9178 Bond Risk Premia
Bernanke w3487 The Federal Funds Rate and the Channels of Monetary Transnission
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us