TY - BOOK ID - 135192033 TI - Interest Rate Targeting and the Dynamics of Short-Term Rates AU - Balduzzi, Pierluigi. AU - Bertola, Giuseppe. AU - Foresi, Silverio. AU - Klapper, Leora. AU - National Bureau of Economic Research. PY - 1997 PB - Cambridge, Mass. National Bureau of Economic Research DB - UniCat UR - https://www.unicat.be/uniCat?func=search&query=sysid:135192033 AB - We find that in 1989-1996, when U.S. monetary policy tightly targeted overnight fed funds rates, the volatility and persistence of spreads between target and term fed funds levels were larger for longer-maturity loans. We show that such patterns are consistent with an expectational model where target revisions are infrequent and predictable. In our model, the (autoco-) variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates are more heavily influenced by persistent expectations of future target changes. ER -