Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60580
Authors: 
Prati, Alessandro
Bartolini, Leonardo
Bertola, Giuseppe
Year of Publication: 
2001
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 135
Abstract: 
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find that many of these features are not robust to changes in institutional details and in the style of central bank intervention, along both cross-sectional and time-series dimensions of our data. Our results suggest that the empirical features of the day-to-day behavior of short-term interest rates are more strongly influenced by institutional arrangements than by extensively researched market frictions.
Subjects: 
interest rates
reserve requirements
central bank procedures
JEL: 
E43
E52
E58
Document Type: 
Working Paper

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