Franklin

Discrete Policy Changes and Empirical Models of the Federal Funds Rate [electronic resource] / Michael J. Dueker, Robert H. Rasche.

Publication:
Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2005.
Format/Description:
Datafile
1 online resource.
Series:
ICPSR (Series) ; 1310.
ICPSR 1310
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System Details:
Mode of access: World Wide Web.
Summary:
Empirical models of the federal funds rate almost uniformly use the quarterly or monthly average of the daily rates. One empirical question about the federal funds rate concerns the extent to which monetary policymakers smooth this interest rate. Under the hypothesis of rate smoothing, policymakers set the interest rate this period equal to a weighted average of the rate inherited from the previous quarter and the rate implied by current economic conditions, such as the Taylor rule rate. Perhaps surprisingly, however, little attention has been given to measuring the interest rate inherited from the previous quarter. Previous tests for interest rate smoothing have assumed that the quarterly or monthly average from the previous period is the inherited rate. The authors of this study, in contrast, suggest that the end-of-quarter level of the target federal funds rate is the inherited rate, and empirical tests support this proposition. The authors show that this alternative view of the rate inherited from the past affects empirical results concerning interest rate smoothing, even in relatively rich models that include regime switching.... Cf.: http://dx.doi.org/10.3886/ICPSR01310
Notes:
Title from ICPSR DDI metadata of 2006-07-25.
Contributor:
Dueker, Michael J.
Rasche, Robert H.
Inter-university Consortium for Political and Social Research.
OCLC:
70890067
Access Restriction:
Restricted for use by site license.