A more likely explanation is that target rate changes have been more widely anticipated in recent years, and this squares with the Roley and Sellon (1995) observation that interest rates rose somewhat in advance of target rate increases. Bond prices set in forward-looking markets should respond only to the surprise element of monetary policy actions, and not to anticipated movements in the funds rate. In assessing the market response to monetary policy, therefore, it makes sense to focus on the surprise component; to the extent that the target rate change itself is a “noisy” measure of the policy surprise, using it as a regressor would lead to.
