dc.contributor.author | BALDUZZI, Pierluigi | |
dc.contributor.author | BERTOLA, Giuseppe | |
dc.contributor.author | FORESI, Silverio | |
dc.contributor.author | KLAPPER, Leora | |
dc.date.accessioned | 2011-04-20T14:03:30Z | |
dc.date.available | 2011-04-20T14:03:30Z | |
dc.date.issued | 1998 | |
dc.identifier.citation | Journal of Money Credit And Banking, 1998, 30, 1, 26-50 | |
dc.identifier.issn | 0022-2879 | |
dc.identifier.uri | https://hdl.handle.net/1814/16748 | |
dc.description.abstract | 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. | |
dc.title | Interest Rate Targeting and the Dynamics of Short-Term Rates | |
dc.type | Article | |
dc.identifier.doi | 10.2307/2601266 | |
dc.neeo.contributor | BALDUZZI|P|aut| | |
dc.neeo.contributor | BERTOLA|Giuseppe|aut| | |
dc.neeo.contributor | FORESI|S|aut| | |
dc.neeo.contributor | KLAPPER|L|aut| | |
dc.identifier.volume | 30 | |
dc.identifier.startpage | 26 | |
dc.identifier.endpage | 50 | |
eui.subscribe.skip | true | |
dc.identifier.issue | 1 | |