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Trends in federal funds rate volatility

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  • Spence Hilton
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    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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    Bibliographic Info

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

    Volume (Year): 11 (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;

    References

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    1. 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, vol. 3(May).
    2. 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.
    3. 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.
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    Cited by:
    1. Nautz, Dieter & Schmidt, Sandra, 2008. "Monetary Policy Implementation and the Federal Funds Rate," ZEW Discussion Papers 08-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    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.).
    3. Klee, Elizabeth, 2010. "Operational outages and aggregate uncertainty in the federal funds market," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2386-2402, October.
    4. 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.

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