Interest rate targeting and the dynamics of short-term rates

被引:26
作者
Balduzzi, P [1 ]
Bertola, G
Foresi, S
Klapper, L
机构
[1] Boston Coll, Chestnut Hill, MA 02167 USA
[2] European Univ Inst, San Domenico Fies, Italy
[3] NYU, New York, NY USA
关键词
D O I
10.2307/2601266
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A feature of U.S. monetary policy has been active targeting of overnight fed funds rates. We show that during a period of tight targeting (1989-1996) term fed funds spreads from the target displayed pronounced volatility and persistence, which increase with the maturity of the loan. We show that the increase in persistence is consistent with a model of infrequent, but predictable revisions of the target. In our model, the (autoco-)variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates reflect persistent expectations of the next target change.
引用
收藏
页码:26 / 50
页数:25
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