Why Do T-Bill Rates React to Discount Rate Changes?
检验了国库券利率对贴现率变动公告的反应是否源于市场将其视为美联储调整联邦基金利率目标的信号，发现证据无法区分这一假说与其他解释，且反应在直接或模糊盯住基金利率时期无差异。
This paper investigates the hypothesis suggested by Cook and Hahn (1988) that the T-bill rates respond to the announcement of discount rate changes because the market takes discount rate changes to be a signal that the Fed has changed its target for the federal funds rate. Re-Interpreting Cook and Hahn's empirical evidence and using theirs and an alternative methodology, we show that the evidence cannot differentiate their hypothesis from a number of others that have been suggested in the literature. We further find that there is no difference in the relative magnitude or timing of the response during periods when the Fed was directly targeting the funds rate or using a fuzzy funds rate target. This result suggests that the market does not simply interpret discount rate changes as a signal that the Fed has changed its target for the funds rate.