EconPapers    
Economics at your fingertips  
 

Interest Rate Targeting and the Dynamics of Short-Term Rates

Balduzzi, Pierluigi, et al
Authors registered in the RePEc Author Service: Pierluigi Balduzzi

Journal of Money, Credit and Banking, 1998, vol. 30, issue 1, 26-50

Abstract: A feature of U.S. monetary policy has been active targeting of overnight fed funds rates. The authors show that, during a period of tight targeting (1989-96), term fed funds spreads from the target displayed pronounced volatility and persistence, which increase with the maturity of the loan. They show that the increase in persistence is consistent with a model of infrequent, but predictable, revisions of the target. In the authors' model, the (autoco-)variance of the spreads of term fed funds rates from the target increases with the maturity because longer-term rates reflect persistent expectations of the next target change. Coauthors are Giuseppe Bertola, Silverio Foresi, and Leora Klapper.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (41) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Interest Rate Targeting and the Dynamics of Short-Term Rates (1997) 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:mcb:jmoncb:v:30:y:1998:i:1:p:26-50

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-05-26
Handle: RePEc:mcb:jmoncb:v:30:y:1998:i:1:p:26-50