2009-11-09Buch DOI: 10.18452/4218
Monetary Policy Implementation and Overnight RatePersistence
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.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 53, SFB 649 Papers, ISSN:1860-5664