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Year: 1997 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1996 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1996 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1997 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1998 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1993 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 1998 Publisher: Cambridge, Mass.
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Year: 1993 Publisher: London : Centre for economic policy research,
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Year: 1997 Publisher: Cambridge, Mass. National Bureau of Economic Research
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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.
Book
Year: 1993 Publisher: Cambridge, Mass. National Bureau of Economic Research
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We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and newly available historical targets provides an interpretation for persistent spreads between short-term money-market rates and overnight fed-funds targets, and for the poor performance of expectations-hypothesis tests: it is the policy-induced component of fed funds dynamics that appears to be erroneously anticipated by the market. Still, allowance for serial correlation in target changes makes it possible to extract from interest-rate data an expected-knoll series which is quite consistent with the assumptions of the model, indicating that some features of the interest-rate-targeting process are incorporated by market expectations.
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