|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25345
|
| | |
| Title: | | Controllability and persistence of money Market rates along the yield curve: evidence from the Euro area  |
| Authors: | | Busch, Ulrike Nautz, Dieter |
| Issue Date: | | 2009 |
| Series/Report no.: | | SFB 649 discussion paper 2009,029 |
| Abstract: | | Controllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains sufficiently low. This paper applies fractional integration techniques to assess the persistence of policy spreads of euro area money market rates along the yield curve. Independently from anticipated policy rate changes, there is strong evidence for all maturities that policy spreads exhibit long memory. We show that recent changes in the operational framework and the communication strategy of the European Central Bank have significantly decreased the persistence of euro area policy spreads and, thus, have enhanced the central bank's influence on longer-term money market rates. |
| Subjects: | | Long memory and fractional integration controllability and persistence of interest rates new operational framework of the ECB |
| JEL: | | C22 E43 E52 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/25345
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|