A Model for the Federal Funds Rate Target

By James D. Hamilton, Ò. Jordà. 2002

256 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Geometry and Topology

View Paper: https://www.semanticscholar.org/paper/98f43350885ff3466c316f23436c02b1db070a64

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Citations in the corpus

Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices (2004, unknown): “To ensure this condition, we replace the denominator of Equation (9) with the larger of [ψn(t) γ′zt] and 1.0001, and employ a differentiable smooth pasting function for the transition of values between 1.0001 and 1.1, as detailed in Hamilton and Jorda (2002).”
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation (2003, methodology): “that the absence of arbitrage opportunities does not necessarily imply that the EH should hold. As demonstrated by Longstaff (2000), however, all traditional forms of the EH can be consistent with the”
Backtesting Value-at-Risk: A Duration-Based Approach (2003, unknown): “Finally, Hamilton and Jorda (2002) recently introduced a class of dynamic hazard models.”
Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score (2011, unknown): “15 Also related are Eichengreen, Watson, and Grossman (1985), Hamilton and Jordà (2002), and Genberg and Gerlach (2004), who use ordered probit models for central bank interest rate targets. a discrete variable taking on M + 1 distinct values.”
DYNAMIC TIME SERIES BINARY CHOICE (2011, background): “Other work on discrete-valued dependent variables includes, for example, Hamilton and Jorda (2002), who analyze how the Federal Reserve determines the level of the Federal Funds target, and the autoregressive conditional multinomial (ACM) model of Russell and Engle (1998).”
Conditional Jump Dynamics in Stock Market Returns (2002, methodology): “For example, Jorion (1988) estimated a constant jump intensity-ARCH model for foreign exchange and stock market returns, and Vlaar and Palm (1993) and Nieuwland et al.”
Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) (2019, methodology): “To take into account interest rate impacts, we use the federal funds rate (FF hereafter) as the influential interest rate, which considerably influences monetary conditions (Hamilton and Jorda, 2002; Spindt and Hoffmeister, 1988).”
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons (2011, unknown): “Left and right censored durations are omitted from the sample, leaving 68 uncensored durations, based on all countries (14) for the period 1870–2008. the autocorrelation function as suggested in Hamilton and Jordà (2002).”
Bond Yields and the Federal Reserve (2005, background): “Most empirical papers on monetary policy focus on the short-rate process alone (Das 2002; Hamilton and Jorda 2002; Johannes 2004).”
Glossary to ARCH (GARCH) (2008, background): “ACH 1 (Autoregressive Conditional Hazard) The ACH model of Hamilton and Jord´a (2002) is designed to capture dynamic dependencies in hazard rates, or the probability for the occurrence of speciﬁc events.”