@techreport{Nautz2010Monetary,
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.},
address = {Berlin},
author = {Dieter Nautz and Jan Scheithauer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-941240-38-4},
keywords = {E52; C22; 330; Controllability and Persistence of Interest Rates; Operational Framework of Central Banks; Long Memory and Fractional Integration; Geldpolitik; Mindestreservepolitik; Staatliche Information; Wirkungsanalyse; Tagesgeldmarkt; Zins; Geldmarkt; USA},
language = {eng},
number = {2010/26},
publisher = {Freie Univ., Fachbereich Wirtschaftswiss.},
title = {Monetary policy implementation and overnight rate persistence},
type = {School of Business & Economics Discussion Paper: Economics},
url = {http://hdl.handle.net/10419/43694},
year = {2010}
}
