Monetary policy implementation and overnight rate persistence

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2009,053

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Controllability and Persistence of Interest Rates ; Operational Framework of Central Banks ; Long Memory and Fractional Integration ; Geldpolitik ; Mindestreservepolitik ; Staatliche Information ; Wirkungsanalyse ; Tagesgeldmarkt ; Zins ; Geldmarkt ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nautz, Dieter ; Scheithauer, Jan
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/39323
• Last update: 10.03.2025, 11:43 AM CET