منابع مشابه
Federal Funds Rate Prediction
We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory oneday-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future FF rate is forecast using th...
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The effective federal funds rate is determined in a competitive interbank market, while the target federal funds rate represents a policy variable. This paper proposes a theory of the determination of the effective funds rate. According to the main result, the latter is a Lagrange multiplier that vanishes if excess reserves emerge. This is exactly what happened in the United States in September...
متن کاملOpen Market Operations and the Federal Funds Rate
It is commonly believed that the Fed’s ability to control the federal funds rate stems from its ability to alter the supply of liquidity in the overnight market through open market operations. This paper uses daily data compiled by the author from the records of the Trading Desk of the Federal Reserve Bank of New York over the period March 1, 1984, through December 31, 1996: He analyzes the Des...
متن کاملPersistence and Cycles in the US Federal Funds Rate
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other on two fractional differencing structures, one...
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The Federal Reserve implements monetary policy by making discrete adjustments to its target for the federal funds rate. Such adjustments are believed to have significant implications for other short-term interest rates, so considerable resources are expended on forecasting the timing and magnitude of the Fed’s next move. Many analysts, both inside and outside of the Federal Reserve System, look...
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ژورنال
عنوان ژورنال: Economic Inquiry
سال: 1997
ISSN: 0095-2583,1465-7295
DOI: 10.1111/j.1465-7295.1997.tb02038.x