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
EditorUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages26 S.
Series ; 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.
If your browser can't open the file, please download the file first and then open it
FU DepartmentDepartment Business and Economics
Other affiliation(s)Institut für Statistik und Ökonometrie
Year of publication2010
Type of documentBook
Terms of use/Rights Nutzungsbedingungen
Created at2010-11-02 : 04:03:05
Last changed2016-01-05 : 02:38:21
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000006812