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Monetary policy implementation and overnight rate persistence
Nautz, Dieter ;  Scheithauer, Jan ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleMonetary policy implementation and overnight rate persistence
AuthorNautz, Dieter
AuthorScheithauer, Jan
InstitutionUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages26 S.
Series Discussion paper / School of Business & Economics ; 2010/26 : Economics
KeywordsControllability and Persistence of Interest Rates; Operational Framework of Central Banks; Long Memory and Fractional Integration
Classification (DDC)337 International economics
AbstractOvernight money market rates are the predominant operational
target of monetary policy. As a consequence, central banks have re-
designed 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 persis-
tence of overnight rates. Our results suggest that a well-communicated
and transparent interest rate target of the central bank is a particu-
larly important condition for a low degree of overnight rate persistence.
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FU DepartmentDepartment Business and Economics
Other affiliation(s)Institut für Statistik und Ökonometrie
Year of publication2010
Type of documentBook
LanguageEnglish
Terms of use/Rights Nutzungsbedingungen
Created at2010-11-02 : 04:03:05
Last changed2014-01-23 : 04:20:15
 
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000006812
ISBN978-3-941240-38-4
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