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http://hdl.handle.net/10419/43694
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| Title: | | Monetary policy implementation and overnight rate persistence  |
| 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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