Monetary policy implementation and overnight rate persistence

Auteurs

• Dieter Nautz

Paramètres

• Affaires et économie

En savoir plus sur le livre

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. -- Controllability and Persistence of Interest Rates ; Operational Framework of Central Banks ; Long Memory and Fractional Integration

Achat du livre

• Année de publication: 2010