Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
By Leonardo Bartolini, G. Bertola, A. Prati. Social Science Research Network, 2000
130 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/83c788754fec7080f3c9a270f6671c3e4a682a77
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Citations in the corpus
- The Microstructure of the Euro Money Market (2001, unknown): “More recently, Bartolini et al. (1998) introduce a role for central bank liquidity provision.”
- Implementation of Monetary Policy: How Do Central Banks Set Interest Rates? (2010, methodology): “60 8 Conclusion 63”
- The euro area interbank market and the liquidity management of the eurosystem in the financial crisis (2010, background): “…reserves arise from minimum reserve requirements and autonomous liquidity factors, 7See, for example, Breitung and Nautz (2001), Ayuso and Repullo (2001, 2003), Ewerhart (2002), Bindseil (2002), Nautz and Oechssler (2003, 2006), Neyer and Wiemers (2004), Beaupain and Durré (2008) and Neyer (2009).”
- Divorcing Money from Monetary Policy (2008, unknown): “Bartolini, Bertola, and Prati (2002) , Clouse and Dow (2002), Whitesell (2006a, b), and Ennis and Weinberg (2007).”