Controllability and persistence of money market rates along the yield curve
Busch, Ulrike ;  Nautz, Dieter ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleControllability and persistence of money market rates along the yield curve
Subtitleevidence from the euro area
AuthorBusch, Ulrike
AuthorNautz, Dieter
InstitutionUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages18 S.
Series Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft ; 2009/5 : Volkswirtschaftliche Reihe
KeywordsLong memory and fractional integration; controllability and persistence of interest rates; new operational framework of the ECB
Classification (DDC)332 Financial economics
AbstractControllability of longer-term interest rates requires that the persis-
tence 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 in uence on longer-term money market rates.
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FU DepartmentDepartment Business and Economics
Other affiliation(s)Institut für Statistik und Ökonometrie
Year of publication2009
Type of documentBook
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Created at2009-07-08 : 10:14:42
Last changed2015-01-22 : 04:40:25
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000002545