Monetary policy implementation and overnight rate persistence

被引:22
作者
Nautz, Dieter [1 ]
Scheithauer, Jan [2 ]
机构
[1] Free Univ Berlin, Dept Econ, D-14195 Berlin, Germany
[2] Deutsch Bundesbank, D-60431 Frankfurt, Germany
关键词
Controllability and persistence of interest rates; Operational framework of central banks; Long memory and fractional integration; FRACTIONAL-INTEGRATION; DAILY MARKET; LONG MEMORY; FUNDS;
D O I
10.1016/j.jimonfin.2011.07.005
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. (C) 2011 Elsevier Ltd. All rights reserved.
引用
收藏
页码:1375 / 1386
页数:12
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