Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes
发现3个月国库券与联邦基金利率的利差在非借入准备金操作体制下能显著预测联邦基金利率未来变化，但在借入准备金体制和目标利率体制下预测能力减弱或消失。
This paper shows that the spread between the 3–month Treasury bill and the federal funds rate has significant predictive power for the future change in the federal funds rate during the volatile nonborrowed reserves operating regime, but it has less and no predictive power during the borrowed reserves regime and the federal funds targeting regime, respectively. These findings suggest that Treasury bill rates forecast future federal funds rates most accurately when the Federal Reserve follows a well-defined rule that does not smooth the impact of shocks on the federal funds rate.