Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60638
Authors: 
Bartolini, Leonardo
Bertola, Giuseppe
Prati, Alessandro
Year of Publication: 
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

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