The Response of Term Rates to Fed Announcements
研究美联储1994年开始的联邦基金利率目标变动公告如何影响国债期限利率，发现公告日各期限利率同步变动更显著，且将利率调整集中于FOMC会议有助于市场预期形成和长期利率控制。
In February 4, 1994 the Federal Reserve began the practice of announcing changes in the targeted level for the federal funds rate immediately after such decisions were made. This paper investigates to what extent the policy of "the announcement" affected a key ingredient in the monetary transmission mechanism: the term structure of nominally risk-free, Treasury securities. We find that term rates react much more in unison during announcement days than at any other time. Moreover, the practice of circumscribing almost all changes in the federal funds rate target to Federal Open Market Committee (FOMC) meeting dates regiments the formation of market expectations in the overnight rate and the price discovery process of term rates, thus facilitating the Fed's goal of controlling long-term rates.