Gerald P. Dwyer Jr. and R. W. Hafer investigate whether announcements of government statistics systematically affect interest rates. To analyze the effects of such announcements, the authors examine the behavior of changes in the 3-month Treasury bill rate and the 30-year government bond rate around days on which government statistics are first made public. Focusing on the market’s reaction to the unexpected part of the announcement, Dwyer and Hafer find that, at least for 1980 through 1987, there is little empirical support for the notion that interest rates respond in a predictable fashion to unexpected changes in inflation, real economic activity, or the trade balance. They do find evidence indicating that unexpected changes in money influenced rates, but this occurred only during the early 1980s.