出版社：Richards College of Business, University of West Georgia
摘要：This paper estimates the impact of monetary policy actions on non-financial commercial paper market yields. It uses data from the futures market for the federal funds rate to separate changes in the funds rate into anticipated and unanticipated components in order to provide insight into the efficiency of these markets and the degree to which the yields data supports the expectations hypothesis. It concludes that only the overnight commercial paper yield shows a significant response to changes in Federal Reserve policies, and then they exhibit nearly equivalent responses to both anticipated and unanticipated changes. Longer maturity paper exhibits reaction only to changes in the overnight commercial paper rate.
