The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation

Journal of Banking and Finance

Volumn 27, Issue 6, 2003, Pages 1079-1110

  Sarno, Lucio ^a,b,c   Thornton, Daniel L ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b CEPR   (United Kingdom)

^c FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Equilibrium correction; Interest rates; Nonlinear dynamics; Term structure

Indexed keywords

EID: 0038405240     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00246-7     Document Type: Article

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