Monetary policy surprises and interest rates: evidence from the Fed funds futures markets

By Ken Kuttner. 2001

1,883 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/41e8a817cc1dd9e35a22691dee605822e4fb521a

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In Economics and Econometrics

Citations in the corpus

Macroeconomic Shocks and Their Propagation (2016, methodology): “In the monetary shock literature, many papers use high-frequency financial futures prices to decompose the anticipated and unanticipated components of interest rates changes (eg, Rudebusch, 1998; Bagliano and Favero, 1999; Kuttner, 2001; G€urkaynak et al., 2005).”
Look Who's Talking: ECB Communication During the First Years of Emu (2004, result): “The results reported by Kuttner (2001) offer support for this point of view.”
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018, positive): “For example, Kuttner (2001)-type variables measure that part of a shock revealed in a monetary policy announcement but not the part revealed, for example, in speeches by FOMC members.”
Simultaneous monetary policy announcements and international stock markets response: an intraday analysis (2011, background): “…studies have relied on monetary policy changes that are simply measured as changes of policy rates on days of monetary policy decisions.3 However, Kuttner (2001) convincingly shows that markets generally react to the unexpected component of the monetary policy announcement, which is consistent…”
Forward Guidance and Macroeconomic Outcomes since the Financial Crisis (2016, background): “Although theory provides no certain identification of the efficacy of central bank communication, the high-frequency estimation strategy of Kuttner (2001) can be used to shed empirical light upon it.”
The macroeconomic effects of monetary policy: a new measure for the United Kingdom (2014, background): “A growing literature has also attempted to isolate surprises in monetary policy from forwardlooking financial market data as in Kuttner (2001); Faust, Swanson, and Wright (2004); Bernanke and Kuttner (2005); Gürkaynak, Sack, and Swanson (2005); Barakchian and Crowe (2013) and Wingender (2011).”
Central Bank Talk: Does It Matter and Why? (2003, background): “14 Among others, see Bomfim (2003), Kuttner (2001), Rigobon and Sack (2002), and Bernanke and Kuttner (2003).”
Inference in Structural Vector Autoregressions identified with an external instrument (2020, background): “In a similar ein, asset price changes measured using high frequency data from financial markets have been used to measure exogenous changes attributed to onetary policy; important early examples include Rudebusch (1998) and Kuttner (2001).”
Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis (2013, methodology): “4 Regarding the dating of the FOMC meetings, for the pre-February 1994 period, which was characterised by lack of press releases regarding FOMC decisions and ambiguity about the dates of open market operations, we use dates provided by Kuttner (2003). The FOMC started to explicitly announce rate cha”
Equal Size, Equal Role? Interest Rate Interdependence between the Euro Area and the United States (2004, positive): “3 An alternative to this survey data is the use of market instruments, in particular the Fed funds futures rate for the US (Kuttner, 2001).”