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Interest Rate Targeting and the Dynamics of Short-Term Rates / Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi, Leora Klapper.
- Format:
- Book
- Author/Creator:
- Balduzzi, Pierluigi.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5944.
- NBER working paper series no. w5944
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1997.
- Summary:
- We find that in 1989-1996, when U.S. monetary policy tightly targeted overnight fed funds rates, the volatility and persistence of spreads between target and term fed funds levels were larger for longer-maturity loans. We show that such patterns are consistent with an expectational model where target revisions are infrequent and predictable. In our model, the (autoco-) variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates are more heavily influenced by persistent expectations of future target changes.
- Notes:
- Print version record
- February 1997.
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