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| Title: | | Day-to-day monetary policy and the volatility of the federal funds interest rate  |
| Authors: | | Bartolini, Leonardo Bertola, Giuseppe Prati, Alessandro |
| Issue Date: | | 2000 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 110 |
| Abstract: | | We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its response to changes in target rates and in intervention procedures, such as those implemented by the Fed in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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