EconPapers    
Economics at your fingertips  
 

Monetary policy implementation and overnight rate persistence

Dieter Nautz () and Jan Scheithauer

Journal of International Money and Finance, 2011, vol. 30, issue 7, 1375-1386

Abstract: Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have redesigned the implementation of monetary policy to keep the deviations of the overnight rate from the key policy rate small and short-lived. This paper uses fractional integration techniques to explore how the operational framework of four major central banks affects the persistence of overnight rates. Our results suggest that a well-communicated and transparent interest rate target of the central bank is a particularly important condition for a low degree of overnight rate persistence.

Keywords: Controllability and persistence of interest rates; Operational framework of central banks; Long memory and fractional integration; E52; C22 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560611001100
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Monetary policy implementation and overnight rate persistence (2010) Downloads
Working Paper: Monetary Policy Implementation and Overnight Rate Persistence (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:30:y:2011:i:7:p:1375-1386

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-12-20
Handle: RePEc:eee:jimfin:v:30:y:2011:i:7:p:1375-1386