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Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era

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  • Yu Hsing

Abstract

This article considers potential impacts of the intended and unintended federal funds rates on the slope of the Treasury yield curve during 1987.M8 to 2006.M1. A third-order autoregressive model is employed in empirical work to correct for serial correlation. The positive significant sign of the unintended federal funds rate suggests that interest rates are affected by the spread between the effective and intended federal funds rates. The impacts of the intended and unintended federal funds rates decline as the maturity increases. The findings are consistent with the rotating yield curve pattern (Kozicki and Sellon, 2005).

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  • Yu Hsing, 2007. "Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 155-159.
    • Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:155-159
    DOI: 10.1080/17446540601018956
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