Arbeitspapier
Persistence and Long Memory in Monetary Policy Spreads
The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the US Fed, the ECB and the BoE and also their policy responses to the Great Financial Crisis (GFC). Fractional integration and long-memory methods are then applied to investigate how those affected the persistence of policy spreads (i.e., the difference between overnight rates and policy rates) during different sub-periods. It is found that this increased sharply during the GFC but has fallen back in recent years. In the case of the ECB the introduction of the new €-STR benchmark in particular appears to have made monetary policy more effective.
- Language
-
Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 8664
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Monetary Policy
- Subject
-
interest rates
persistence
central banks
long memory
fractional integration
- Event
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Geistige Schöpfung
- (who)
-
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and Ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Gil-Alaña, Luis A.
- Center for Economic Studies and Ifo Institute (CESifo)
Time of origin
- 2020
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