Abstract

ANZALDO, Gilberto  and  BENAVIDES, Guillermo. Interest Rates Expectations and Monetary Policy News in the US. Rev. mex. econ. finanz [online]. 2020, vol.15, n.1, pp.17-35.  Epub July 03, 2020. ISSN 2448-6795.  https://doi.org/10.21919/remef.v15i1.463.

The Taper Tantrum event is related to the high volatility experienced in the US stock markets between April and June 2013. The apparent cause was a set of announcements made by the Fed as a means to increase the interest rate, which was at relative low levels since the financial crises of 2008-2009. This research estimates the expected value of the level of interest rates (10-year T-Note) of a representative agent, and its significant variations, around the Taper Tantrum. For this purpose, the risk-neutral density of the interest rate extracted from option prices, which has implicit information on the expectations, is estimated. The obtained results indicate that the proposed methodology implicitly measures the expectations in the debt market. The working hypothesis is that the announcements of policymakers made during the Taper Tantrum have a statistically significant effect on US stock markets.

Keywords : C22; E52; G13; G14; interest rates; risk-neutral densities; taper tantrum.

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