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Tests of the Market's Reaction to Federal Funds Rate Target Changes (ICPSR 1196)
Principal Investigator(s): Thornton, Daniel L., Federal Reserve Bank of St. Louis
This research tests several hypotheses about the market's reactions to changes in the Federal Reserve's federal funds rate target and finds that short-term rates and long-term rates responded differently to funds rate target changes when target changes were accompanied by a change in the discount rate. It is shown that the smaller response of long-term rates (in these instances) is due to the market's revising its inflation outlook when the target is changed. No evidence that the size of the market's response varies with the size of the target changes is found, but the response to target changes is somewhat larger when the target change is the first change in a new direction. It should be noted that some of the results are based on a very small number of target changes.
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
These data are freely available.
Thornton, Daniel L. Tests of the Market's Reaction to Federal Funds Rate Target Changes. ICPSR01196-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 1999-04-30. http://doi.org/10.3886/ICPSR01196.v1
Persistent URL: http://doi.org/10.3886/ICPSR01196.v1
Scope of Study
Geographic Coverage: United States
Data Collection Notes:
The files submitted are 9811DT.DAT and 9811DT.PRG, data and program files, respectively.
These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
Original ICPSR Release: 1999-04-30
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