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https://hdl.handle.net/10419/39323
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Nautz, Dieter | en |
dc.contributor.author | Scheithauer, Jan | en |
dc.date.accessioned | 2009-12-04 | - |
dc.date.accessioned | 2010-08-26T11:57:22Z | - |
dc.date.available | 2010-08-26T11:57:22Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/39323 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2009,053 | en |
dc.subject.jel | E52 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Controllability and Persistence of Interest Rates | en |
dc.subject.keyword | Operational Framework of Central Banks | en |
dc.subject.keyword | Long Memory and Fractional Integration | en |
dc.subject.stw | Geldpolitik | en |
dc.subject.stw | Mindestreservepolitik | en |
dc.subject.stw | Staatliche Information | en |
dc.subject.stw | Wirkungsanalyse | en |
dc.subject.stw | Tagesgeldmarkt | en |
dc.subject.stw | Zins | en |
dc.subject.stw | Geldmarkt | en |
dc.subject.stw | USA | en |
dc.title | Monetary policy implementation and overnight rate persistence | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 61432940X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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