Day-to-day monetary policy and the volatility of the federal funds interest rate
By: Leonardo Bartolini, Giuseppe Bertola, Alessandro Prati.
Contributors: Giuseppe Bertola.; Prati, Alessandro.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 110; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 110.
Publisher: Federal Reserve Bank of New York
Published: 2000
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Federal funds market (United States) -- Econometric models; Monetary policy -- United States; Interest rates -- Econometric models; Money market -- Econometric models; Banks and banking, Central -- Econometric models; Electronic publications
Description: "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"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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