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The implementation of monetary policy in New Zealand: What factors affect the 90-day bank bill rate?

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  • Guender, Alfred V.
  • Rimer, Oyvinn

Abstract

This paper discusses the implementation of monetary policy in New Zealand and its flow-on effects on the 90-day bank bill rate over the 1999-2005 period. The effects of external factors are considered as well. Our findings indicate that the maturity spectrum ratio exerted a positive effect on the 90-day bank bill rate while the allotment ratio did not. This interest rate had a tendency to revert to the level set by its Australian counterpart, though at a relatively slow speed. No such link exists between the NZ 90-day rate and the U.S. 90-day rate. Neither the maturity spectrum nor the allotment ratio contributed to the volatility of the most important short-term interest rate in New Zealand.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 19 (2008)
Issue (Month): 2 (August)
Pages: 215-234

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Handle: RePEc:eee:ecofin:v:19:y:2008:i:2:p:215-234

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Web page: http://www.elsevier.com/locate/inca/620163

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  1. Jan Frazer, 2004. "Liquidity management in the New Zealand banking system," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 67, December.
  2. Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Banco de Espa�a Working Papers 0016, Banco de Espa�a.
  3. Nautz, Dieter & Oechssler, Jörg, 1999. "The repo auctions of the European Central Bank and the vanishing quota puzzle," SFB 373 Discussion Papers 1999,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Dieter Nautz & Christian J. Offermanns, 2007. "The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
  5. Gabriel Pérez-Quirós & Hugo Rodríguez Mendizábal, 2003. "The Daily Market for Funds in Europe: What has Changed with the EMU?," Working Papers 22, Barcelona Graduate School of Economics.
  6. Ian Nield, 2006. "Changes to liquidity management regime," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 6p, December.
  7. Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
  8. Leonardo Bartolini & Alessandro Prati, 2003. "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports 175, Federal Reserve Bank of New York.
  9. David Archer & Andy Brookes & Michael Reddell, 1999. "A cash rate system for implementing monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 62, March.
  10. Michael Woodford, 2001. "Monetary Policy in the Information Economy," NBER Working Papers 8674, National Bureau of Economic Research, Inc.
  11. Thomas J. Jordan & Peter Kugler, 2004. "Implementing Swiss Monetary Policy: Steering the 3M-Libor with Repo Transactions," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 381-393, September.
  12. Andy Brookes & Tim Hampton, 2000. "The Official Cash Rate one year on," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 63, June.
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Cited by:
  1. Detmers, Gunda-Alexandra & Nautz, Dieter, 2013. "How Stale Central Bank Interest Rate Projections Affect Interest Rate Uncertainty," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79861, Verein für Socialpolitik / German Economic Association.
  2. Gunda-Alexandra Detmers & Dieter Nautz, 2014. "Stale Forward Guidance," SFB 649 Discussion Papers SFB649DP2014-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Michelle Lewis & Lauren Rosborough, 2013. "What in the world moves New Zealand bond yields?," Reserve Bank of New Zealand Analytical Notes series AN2013/08, Reserve Bank of New Zealand.

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