In this paper, we first specify a theoretical model of the term structure's response to federal funds rate target changes. The model considers not only the immediate response to target changes, but also the response in anticipation of a policy change. The model is then estimated over the 1974-79 and 1987-95 periods, and the model's restrictions cannot be rejected. The results suggest that policy changes have become more predictable since 1987, causing more of the target change to be reflected in market yields before the policy action is taken. The results also suggest that the economic shocks the Federal Reserve chooses to offset are very persistent, if not permanent.