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Trends in federal funds rate volatility

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Author Info
Spence Hilton
Abstract

The behavior of the fed funds rate-a key monetary policy target and a benchmark for short-term interest rates-is closely watched by many market participants. After a decade marked by periodic bouts of high volatility in the funds rate, volatility has declined sharply since 2001. An analysis of the major factors influencing the rate's behavior shows that some of the forces behind the current fall in volatility first emerged in response to the earlier increases.

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Article provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.

Volume (Year): (2005)
Issue (Month): Jul ()
Pages:
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Handle: RePEc:fip:fednci:y:2005:i:jul:n:v.11no.7

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Related research
Keywords: Federal funds rate

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Sandra C. Krieger, 2002. "Recent trends in monetary policy implementation: a view from the desk," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 73-76. [Downloadable!]
  2. Paul Bennett & Stavros Peristiani, 2002. "Are U.S. reserve requirements still binding?," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 53-68. [Downloadable!]
  3. Paul Bennett & Spence Hilton, 1997. "Falling reserve balances and the federal funds rate," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue May. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies. [Downloadable!]
  2. Elizabeth Klee, 2007. "Operational problems and aggregate uncertainty in the federal funds market," Finance and Economics Discussion Series 2007-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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This page was last updated on 2008-7-28.

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