Add to ORKGWe explore the link between the overnight fed funds rate, which is actively targeted by the Federal Reserve, and longer-maturity term fed funds rates. We develop a term-structure model which explicitly accounts for interest rate targeting and for the predictability of future target changes. The model is able to replicate some qualitative features of the dynamic behavior of deviations of short-term rates from the target
We propose a model of the interbank money market with an explicit role for central bank intervention...
Term structure models and many descriptions of the transmission of monetary policy rest on the empir...
This paper studies a nonlinear one-factor term structure model in discrete time. The short-term inte...
We explore the link between the overnight fed funds rate, which is actively targeted by the Federal ...
We explore the effects of overnight-rate targeting on nominal interest rates of longer maturities. I...
The Federal Reserve adjusts the federal funds target rate discretely, causing discontinuity in short...
Recent research has reported that both the federal funds rate futures market and the federal funds t...
Recent empirical research shows that a reasonable characterization of federal-funds rate targeting b...
We reexamine the expectations theory of the term structure using data at the short end of the maturi...
Central banks typically control an overnight interest rate as their policy tool, and the transmissio...
It is widely believed that the Fed controls the federal funds rate by altering the degree of pressur...
This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage mo...
This paper examines the implications of the expectations theory of the term structure for the implem...
We would like to thank Daniel Grombacher of CBOT, Ray Sasaki of Sempra Energy and Doug Adams of Tran...
Nominal short term interest rates have been low in the United States, so low that some have wondered...
We propose a model of the interbank money market with an explicit role for central bank intervention...
Term structure models and many descriptions of the transmission of monetary policy rest on the empir...
This paper studies a nonlinear one-factor term structure model in discrete time. The short-term inte...
We explore the link between the overnight fed funds rate, which is actively targeted by the Federal ...
We explore the effects of overnight-rate targeting on nominal interest rates of longer maturities. I...
The Federal Reserve adjusts the federal funds target rate discretely, causing discontinuity in short...
Recent research has reported that both the federal funds rate futures market and the federal funds t...
Recent empirical research shows that a reasonable characterization of federal-funds rate targeting b...
We reexamine the expectations theory of the term structure using data at the short end of the maturi...
Central banks typically control an overnight interest rate as their policy tool, and the transmissio...
It is widely believed that the Fed controls the federal funds rate by altering the degree of pressur...
This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage mo...
This paper examines the implications of the expectations theory of the term structure for the implem...
We would like to thank Daniel Grombacher of CBOT, Ray Sasaki of Sempra Energy and Doug Adams of Tran...
Nominal short term interest rates have been low in the United States, so low that some have wondered...
We propose a model of the interbank money market with an explicit role for central bank intervention...
Term structure models and many descriptions of the transmission of monetary policy rest on the empir...
This paper studies a nonlinear one-factor term structure model in discrete time. The short-term inte...