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http://hdl.handle.net/10419/43694
  
Title:Monetary policy implementation and overnight rate persistence PDF Logo
Authors:Nautz, Dieter
Scheithauer, Jan
Issue Date:2010
Series/Report no.:School of Business & Economics Discussion Paper: Economics 2010/26
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
ISBN:978-3-941240-38-4
Document Type:Working Paper
Appears in Collections:Diskussionsbeiträge, FB Wirtschaftswissenschaft, FU Berlin

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