Cross-country differences in monetary policy execution and money market rates' volatility

Arbeitspapier

The volatility patterns of overnight interest rates differ across industrial countries in ways that existing models, designed to replicate the features of the U.S. federal funds market, cannot explain. This paper presents an equilibrium model of the overnight interbank market that matches these different patterns by incorporating differences in policy execution by the world's main central banks, including differences in central banks' management of marginal lending and deposit facilities in response to shocks. Our model is consistent with central banks' observed practice of rationing access to marginal facilities when the objective of stabilizing short-term interest rates conflicts with another high-frequency objective, such as the targeting of exchange rates.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 175

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy ; Monetary Policy
• Subject: interbank market ; interest volatility ; central bank procedures ; Zins ; Geldmarkt ; Geldpolitik ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bartolini, Leonardo ; Prati, Alessandro
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/60603
• Last update: 10.03.2025, 11:42 AM CET