The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998
研究1976至1998年间，美国国债期货价格对每周M1货币供应量意外变动的反应，并分析不同货币政策操作程序和立场下这种反应的变化。
Abstract: This study examines the response of T‐bill and T‐bond futures prices to weekly M1 announcements over the period March 1976 to November 1998 conditioned upon monetary operating procedures and the stance in monetary policy. In concurrence with previous studies, this study finds that unanticipated increases in M1 are negatively related to changes in T‐bill and T‐bond futures prices. However, when the data is sorted by monetary regime, the stance in monetary policy, and direction of money surprise, we find evidence to support the several competing theories historically suggested by Cornell (1983b) to explain the impact of money supply announcements.