Trends in federal funds rate volatility
AbstractThe 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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Bibliographic InfoArticle provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.
Volume (Year): 11 (2005)
Issue (Month): Jul ()
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ZEW Discussion Papers
08-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
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Cahiers de recherche
- Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
- 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.).
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