Do changes in the discount rate and Fed funds rate affect financial market returns?

Abstract

Reviews previous research on the announcement effects of changes in US Federal Reserve policies and presents a study of the impact of federal funds rate and discount rate changes since the current chairman took office (1988) on the treasury bills/bonds and stock markets. Uses event study methodology to show that there is no significant effect on cumulative excess returns for any of the three markets, although the treasury bill market displayed the greatest reaction; and that market reactions were similar for either type of rate change.

Citation

Seiler, M.J., Shyu, P. and Sharma, J.L. (1998), "Do changes in the discount rate and Fed funds rate affect financial market returns?", Managerial Finance, Vol. 24 No. 8, pp. 16-25. https://doi.org/10.1108/03074359810765633