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http://hdl.handle.net/10419/39323
  

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dc.contributor.authorNautz, Dieteren_US
dc.contributor.authorScheithauer, Janen_US
dc.date.accessioned2009-12-04en_US
dc.date.accessioned2010-08-26T11:57:22Z-
dc.date.available2010-08-26T11:57:22Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39323-
dc.description.abstractOvernight 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2009,053en_US
dc.subject.jelE52en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordControllability and Persistence of Interest Ratesen_US
dc.subject.keywordOperational Framework of Central Banksen_US
dc.subject.keywordLong Memory and Fractional Integrationen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwMindestreservepolitiken_US
dc.subject.stwStaatliche Informationen_US
dc.subject.stwWirkungsanalyseen_US
dc.subject.stwTagesgeldmarkten_US
dc.subject.stwZinsen_US
dc.subject.stwGeldmarkten_US
dc.subject.stwUSAen_US
dc.titleMonetary policy implementation and overnight rate persistenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn61432940Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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