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2009-05-15Buch DOI: 10.18452/4194
Controllability and Persistence of Money Market Rates along the Yield Curve
dc.contributor.authorBusch, Ulrike
dc.contributor.authorNautz, Dieter
dc.date.accessioned2017-06-15T23:56:09Z
dc.date.available2017-06-15T23:56:09Z
dc.date.created2009-05-20
dc.date.issued2009-05-15none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4846
dc.description.abstractControllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains sufficiently low. This paper applies fractional integration techniques to assess the persistence of policy spreads of euro area money market rates along the yield curve. Independently from anticipated policy rate changes, there is strong evidence for all maturities that policy spreads exhibit long memory. We show that recent changes in the operational framework and the communication strategy of the European Central Bank have significantly decreased the persistence of euro area policy spreads and, thus, have enhanced the central bank's influence on longer-term money market rates.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 649: Ökonomisches Risiko - 29, SFB 649 Papers, ISSN:1860-5664
dc.subjectLong memory and fractional integrationeng
dc.subjectcontrollability and persistence of interest rateseng
dc.subjectnew operational framework of the ECBeng
dc.subject.ddc330 Wirtschaft
dc.titleControllability and Persistence of Money Market Rates along the Yield Curve
dc.typebook
dc.subtitleEvidence from the Euro Area
dc.identifier.urnurn:nbn:de:kobv:11-10097781
dc.identifier.doihttp://dx.doi.org/10.18452/4194
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.container-titleSFB 649 Papers
local.edoc.container-issn1860-5664
local.edoc.pages20
local.z-edoc.journal-periodikumAusgabe29,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue29
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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