A Daily View of Yield Spreads and Short-Term Interest Rate Movements

J. OF MONEY, CREDIT, AND BANKING, Vol. 28 No. 1, February 1996

Posted: 28 Apr 1998

See all articles by William Roberds

William Roberds

Federal Reserve Bank of Atlanta

David E. Runkle

University of Minnesota - Twin Cities - Carlson School of Management

Charles H. Whiteman

Pennsylvania State University - Smeal College of Business

Abstract

Daily data on short-term interest rates are used to show how changes in Federal Reserve operating procedures have affected the term structure. Yield spreads were helpful in predicting short-term interest rate movements during the nonborrowed reserves targeting period (1979-82), but not during the earlier Federal funds targeting period. Since the adoption of contemporaneous reserves accounting in 1984, yield spreads have been informative about short-term interest rate movements, principally because of the inter- play between the market determination of the overnight funds rate on reserve settlement Wednesdays and the Fed's apparent commitment to stabilizing the funds rate on other days.

JEL Classification: E43

Suggested Citation

Roberds, William and Runkle, David E. and Whiteman, Charles H., A Daily View of Yield Spreads and Short-Term Interest Rate Movements. J. OF MONEY, CREDIT, AND BANKING, Vol. 28 No. 1, February 1996, Available at SSRN: https://ssrn.com/abstract=7068

William Roberds (Contact Author)

Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States
404-498-8970 (Phone)
404-498-8956 (Fax)

David E. Runkle

University of Minnesota - Twin Cities - Carlson School of Management ( email )

19th Avenue South
Minneapolis, MN 55455
United States
612-340-2577 (Phone)

Charles H. Whiteman

Pennsylvania State University - Smeal College of Business

University Park, PA 16802
United States
814-863-0448 (Phone)

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