EconPapers    
Economics at your fingertips  
 

Monetary policy implementation and overnight rate persistence

Dieter Nautz () and Jan Scheithauer

No 2010/26, Discussion Papers from Free University Berlin, School of Business & Economics

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 (search for similar items in EconPapers)
JEL-codes: E52 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/43694/1/641066309.pdf (application/pdf)

Related works:
Journal Article: Monetary policy implementation and overnight rate persistence (2011) 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:zbw:fubsbe:201026

Access Statistics for this paper

More papers in Discussion Papers from Free University Berlin, School of Business & Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2019-12-20
Handle: RePEc:zbw:fubsbe:201026