Monetary policy implementation and the federal funds rate

被引：31

作者：

Nautz, Dieter ^{[1
]}

Schmidt, Sandra ^{[2
]}

机构：

[1] Free Univ Berlin, Inst Stat & Econometr, D-14195 Berlin, Germany

[2] Ctr European Econ Res ZEW, Dept Int Financial Markets & Financial Management, D-68161 Mannheim, Germany

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 07期

关键词：

Interest rate dynamics and volatility; Monetary policy implementation; Central bank communication; Reserve requirements; OPEN MARKET OPERATIONS; DYNAMIC RELATIONSHIP; PASS-THROUGH; EURO-ZONE; TRANSMISSION; VOLATILITY; TRANSPARENCY;

D O I：

10.1016/j.jbankfin.2009.01.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates how the implementation of monetary policy affects the dynamics and the volatility of the federal funds rate. Since the early 1980s, the most important changes in the Fed's conduct of monetary policy refer to the role of the federal funds rate target and the reserve requirement system. We show that the improved communication and transparency regarding the federal funds rate target has significantly increased the Fed's influence on the federal funds rate since 1994. By contrast, the declining role of required reserves in the US has contributed to higher federal funds rate volatility. Our results suggest that the introduction of remunerated required reserves will further enhance the controllability of the federal funds rate. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1274 / 1284

页数：11

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