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Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate, Alessandro Prati, Giuseppe Bertola, Leonardo Bartolini

Abstract
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 Federal Reserve in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds
Language
eng
Literary Form
non fiction
Note
Bibliographic Level Mode of Issuance: Monograph
Physical Description
1 online resource (29 pages)
Form Of Item
online
Isbn
9780145276713

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