A Model of the Federal Funds Rate Target
نویسندگان
چکیده
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...
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We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by ...
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We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by ...
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For sometime now, the Fed has implemented monetary policy by making discrete adjustments to its target for the federal funds rate. Given that a change in the funds rate target is taken as a change in monetary policy, it is not surprising that the market reacts to actual and perceived changes in the Fed’s funds rate target, [e.g., Cook and Hahn (1989) and Thornton (1996)]. Several interesting hy...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 2002
ISSN: 0022-3808,1537-534X
DOI: 10.1086/341872