Arbeitspapier
Day-to-day monetary policy and the volatility of the federal funds interest rate
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its response to changes in target rates and in intervention procedures, such as those implemented by the Fed in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 110
- Klassifikation
-
Wirtschaft
- Thema
-
Geldpolitik
Geldmarkt
Zins
Volatilität
Geldpolitik
Dynamisches Gleichgewicht
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bartolini, Leonardo
Bertola, Giuseppe
Prati, Alessandro
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bartolini, Leonardo
- Bertola, Giuseppe
- Prati, Alessandro
- Federal Reserve Bank of New York
Entstanden
- 2000
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