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dc.contributor.authorBALDUZZI, Pierluigi
dc.contributor.authorBERTOLA, Giuseppe
dc.contributor.authorFORESI, Silverio
dc.contributor.authorKLAPPER, Leora
dc.date.accessioned2011-04-20T14:03:30Z
dc.date.available2011-04-20T14:03:30Z
dc.date.issued1998
dc.identifier.citationJournal of Money Credit And Banking, 1998, 30, 1, 26-50
dc.identifier.issn0022-2879
dc.identifier.urihttps://hdl.handle.net/1814/16748
dc.description.abstractA 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.
dc.titleInterest Rate Targeting and the Dynamics of Short-Term Rates
dc.typeArticle
dc.identifier.doi10.2307/2601266
dc.neeo.contributorBALDUZZI|P|aut|
dc.neeo.contributorBERTOLA|Giuseppe|aut|
dc.neeo.contributorFORESI|S|aut|
dc.neeo.contributorKLAPPER|L|aut|
dc.identifier.volume30
dc.identifier.startpage26
dc.identifier.endpage50
eui.subscribe.skiptrue
dc.identifier.issue1


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