Monetary Policy Implementation and Overnight Rate Persistence
Dieter Nautz () and
No SFB649DP2009-053, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have re- designed 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 persis- tence of overnight rates. Our results suggest that a well-communicated and transparent interest rate target of the central bank is a particu- larly important condition for a low degree of overnight rate persistence.
Keywords: Controllability and Persistence of Interest Rates; Oper- ational Framework of Central Banks; Long Memory and Fractional Integration (search for similar items in EconPapers)
JEL-codes: E52 C22 (search for similar items in EconPapers)
Pages: 26 pages
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Journal Article: Monetary policy implementation and overnight rate persistence (2011)
Working Paper: Monetary policy implementation and overnight rate persistence (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2009-053
Access Statistics for this paper
More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649 Contact information at EDIRC.
Bibliographic data for series maintained by RDC-Team ().