Persistence and Volatility in Short-Term Interest Rates
The Bank of England Working Paper No. 116
43 Pages Posted: 25 Sep 2000
Date Written: 2000
Abstract
It is important for monetary policy makers to know how closely money market rates follow the policy rates they set. This paper looks at the volatility and persistence of divergences between short-term market interest rates away from policy rates. This may also offer insights into the effectiveness of various approaches that central banks employ to smooth interest rate volatility, such as requiring minimum reserves. Using data for Germany, Italy and the United Kingdom, we find that in all three countries there are significant temporary divergences, although the average divergence is close to zero.
JEL Classification: E43, E52, E58
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The Microstructure of the Euro Money Market
By Philipp Hartmann, Michele Manna, ...
-
The Microstructure of the Euro Money Market
By Philipp Hartmann, Michele Manna, ...
-
The Microstructure of the Euro Money Market
By Philipp Hartmann, Michele Manna, ...
-
Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
By Leonardo Bartolini, Giuseppe Bertola, ...
-
Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
By Leonardo Bartolini, Giuseppe Bertola, ...
-
The ECB Monetary Policy Strategy and the Money Market
By Vitor Gaspar, Gabriel Perez-quiros, ...
-
A Model of Target Changes and the Term Structure of Interest Rates
By Pierluigi Balduzzi, Giuseppe Bertola, ...
-
A Model of Target Changes and the Term Structure of Interest Rates
By Pierluigi Balduzzi, Giuseppe Bertola, ...