Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127548
Authors: 
Hasler, Nicole
Year of Publication: 
2014
Series/Report no.: 
WWZ Forschungsbericht 2014/08
Abstract: 
This paper contributes to the ongoing debate about the changing dynamics in the money market rates after 2007. It aims to analyse the interest rate channel of monetary policy transmission until the federal funds target rate reached the zero lower bound. A set of different model explains both long and short run dynamics of U.S. money market rates up to 6 months. I find that secured money market rates move together with monetary policy expectations whereas unsecured interbank rates disconnected from policy rates due to an increase in both credit and liquidity risks.
Subjects: 
Transmission of Monetary Policy
Financial Crisis
Money Market
Transmission of Monetary Policy
Financial Crisis
Money Market
JEL: 
E43
E52
E58
Document Type: 
Research Report

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