Interest rate targeting and the dynamics of short-term rates

Journal of Money, Credit and Banking

Volumn 30, Issue 1, 1998, Pages 26-50

  Balduzzi, Pierluigi ^a   Bertola, Giuseppe ^a   Foresi, Silverio ^a   Klapper, Leora ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032327170     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.2307/2601266     Document Type: Article

References (22)

1. Babbs, Simon H., and Nick J. Webber. "A Theory of the Term Structure with an Official Short Rate." Mimeo, University of Warwick, 1994.
2. Balduzzi, Pierluigi, Sanjiv R. Das, and Silverio Foresi. "The Central Tendency: A Second Factor in Bond Yields." Review of Economics and Statistics (forthcoming 1998).
3. Balduzzi, Pierluigi, Giuseppe Bertola, and Silverio Foresi. "A Model of Target Changes and the Term Structure of Interest Rates." Journal of Monetary Economics 39 (July 1997), 223-49.
4. Balduzzi, Pierluigi, Edwin J. Elton, and Clifton T. Green. "Economic News and the Yield Curve: Evidence from the U.S. Treasury Market." Mimeo, New York University, 1996.
5. Barrett, W. Brian, Myron B. Slovin, and Marie E. Sushka. "Reserve Regulation and Recourse as a Source of Risk Premia in the Fed Funds Market." Journal of Banking and Finance 12 (December 1988), 575-84.
6. Barro, Robert. "Interest Rate Targeting." Journal of Monetary Economics 23 (January 1989), 3-30.
7. Campbell, John Y. "Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week." Journal of Money, Credit, and Banking 19 (February 1987), 56-67.
8. _. "Some Lessons from the Yield Curve." Journal of Economic Perspectives 9 (Summer 1995), 129-52.
9. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay. The Econometrics of Financial Markets. Princeton: Princeton University Press, 1997.
10. Cook, Timothy, and Thomas Hahn. "The Effect of Changes in the Fed Funds Rate Target on Market Interest Rates in the 1970s." Journal of Monetary Economics 24 (November 1989), 331-51.
11. Goodfriend, Marvin. "Interest Rates and the Conduct of Monetary Policy." Carnegie-Rochester Series on Public Policy 34 (Spring 1991), 7-30.
12. Hamilton, James D. "The Daily Market for Fed Funds." Journal of Political Economy, (February 1996), 26-56.
13. Hansen, Lars P. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica 50 (July 1982), 1029-54.
14. Jegadeesh, Narasimhan, and George G. Pennacchi. "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures." Journal of Money, Credit, and Banking 28 (August 1996), 426-46.
15. Mankiw, Gregory N., and Jeffrey A. Miron. "The Changing Behavior of the Term Structure of Interest Rates." Quarterly Journal of Economics 101 (May 1986), 211-28.
16. Mankiw, Gregory N., Jeffrey A. Miron, and David N. Weil. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve." American Economic Review 77 (June 1987), 358-74.
17. Melino, Angelo. "The Term Structure of Interest Rates: Evidence and Theory." Journal of Economic Surveys 2:4 (1988), 335-66.
18. Meulendyke, Ann-Marie. "U.S. Monetary Policy and Financial Markets." New York: Federal Reserve Bank of New York, 1990.
19. Rudebusch, Glenn D. "Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure." Journal of Monetary Economics 35 (December 1995), 245-74.
20. Shiller, Robert. "The Term Structure of Interest Rates." In Handbook of Monetary Economics, edited by Benjamin M. Friedman and Frank H. Hahn, vol. 1, pp. 627-722. Amsterdam: North-Holland, 1990.
21. Simon, David P. "Expectations and the Treasury Bill-Fed Funds Rate Spread over Recent Monetary Policy Regimes." Journal of Finance 65 (June 1990), 567-77.
22. Spanos, Aris. Statistical Foundations of Econometric Modeling. Cambridge: Cambridge University Press, 1987.