Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39323
Authors: 
Nautz, Dieter
Scheithauer, Jan
Year of Publication: 
2009
Series/Report no.: 
SFB 649 discussion paper 2009,053
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
Document Type: 
Working Paper

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