غافلگیرهای سیاست های پولی و نرخ بهره : شواهدی از بازار منابع مالی قراردادهای آتی بانک فدرال

This paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for Federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Interest rates’ response to anticipated target rate changes is small, while their response to unanticipated changes is large and highly significant. These responses are generally consistent with the expectations hypothesis of the term structure. Surprise target rate changes have little effect on expectations of future actions, however, which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve.

How market interest rates respond to Federal Reserve actions is a topic of great interest to financial market participants and policymakers alike. Bondholders, naturally, are concerned with the effects of Fed policy on bond prices. Since the first link in the transmission of Federal Reserve policy is from the Fed funds target to other interest rates, the issue is an important one for assessing the likely effectiveness of monetary policy. Conventional wisdom is that an increase in the target Fed funds rate leads to an immediate increase in market interest rates, and a fall in bond prices; yet evidence for this view is elusive. Cook and Hahn (1989) documented a strong response in the 1970s, but regressions using data from the 1980s and 1990s show little, if any, impact of Fed policy on interest rates. Roley and Sellon (1995), for example, conclude that “although casual observation suggests a close connection …, the relationship between Fed actions and long-term interest rates appears much looser and more variable”. These studies did not distinguish between anticipated and unanticipated actions, however, and it turns out that the failure to do so accounts for the apparent lack of a close link. Using Fed funds futures rates to disentangle expected from unexpected policy actions, this paper shows that interest rates’ response to the “surprise” component of Fed policy is significantly stronger than the response to the change in the target itself; in fact, rates’ response to the anticipated component of policy actions is minimal, and consistent with the expectations hypothesis of the term structure. The response of Fed funds futures rates themselves to unexpected policy actions is fairly uniform across the one- to five-month horizon, supporting the view that the short end of the yield curve contains little information about future movements in short-term rates.

The aim of this paper has been to estimate the effect of changes in Federal Reserve policy on a spectrum of market interest rates, using Fed funds futures data to distinguish anticipated from unanticipated changes in the funds rate target. Its main finding is that of a strong relationship between surprise policy actions and market interest rates; the response to anticipated actions is small. The results are robust for estimating on FOMC meeting dates, and to defining rate changes at monthly intervals. Interest rates’ response to target rate is generally consistent with the expectations hypothesis, although the less-than one-for-one response to surprise actions at the short end of the yield curve suggests that many of these surprises have more to do with timing of rate changes than with the ultimate level of rates. Finally, surprise target rate changes have virtually no effects on expectations of future Fed actions, which helps to explain the failure of the expectations hypothesis on the short end of the yield curve. More generally, this paper has discussed the use of Fed funds futures contracts in extracting measures of expected policy actions, highlighting possible pitfalls introduced by the contracts’ unique time-averaged structure. An interesting line of future research would be to use the methods developed here to analyze the effects of monetary policy on other financial markets, such as those for equity and foreign exchange.