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Title:Monetary policy implementation and overnight rate persistence PDF Logo
Authors:Nautz, Dieter
Scheithauer, Jan
Issue Date:2009
Series/Report no.:SFB 649 discussion paper 2009,053
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.
Subjects:Controllability and Persistence of Interest Rates
Operational Framework of Central Banks
Long Memory and Fractional Integration
JEL:E52
C22
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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