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Citations for "Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate"

by Alessandro Prati & Giuseppe Bertola & Leonardo Bartolini

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  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in the US Federal Funds Rate," Discussion Papers of DIW Berlin 1255, DIW Berlin, German Institute for Economic Research.
  2. Huberto M. Ennis & Todd Keister, 2008. "Understanding monetary policy implementation," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 235-263.
  3. Demiralp, Selva & Farley, Dennis, 2005. "Declining required reserves, funds rate volatility, and open market operations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(5), pages 1131-1152, May.
  4. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(3), pages 525-539, April.
  5. Judson, Ruth A. & Klee, Elizabeth, 2010. "Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years," Journal of Macroeconomics, Elsevier, Elsevier, vol. 32(3), pages 713-731, September.
  6. Wilhelmsen, Bjørn-Roger & Zaghini, Andrea, 2005. "Monetary policy predictability in the euro area: an international comparison," Working Paper Series, European Central Bank 0504, European Central Bank.
  7. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001. "Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(7), pages 1287-1317, July.
  8. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer, Springer, vol. 29(1), pages 61-82, February.
  9. Anne Vila Wetherilt, 2003. "Money market operations and short-term interest rate volatility in the United Kingdom," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(10), pages 701-719.
  10. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 22(2), pages 259-284.
  11. Karel BRŮNA, 2010. "Monetary Policy Implementation and Liquidity Management of the Czech Banking System," European Financial and Accounting Journal, University of Economics, Prague, University of Economics, Prague, vol. 2010(3), pages 15-41.
  12. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series, European Central Bank 0235, European Central Bank.
  13. Välimäki, Tuomas, 2001. "Fixed rate tenders and the overnight money market equilibrium," Research Discussion Papers, Bank of Finland 8/2001, Bank of Finland.
  14. Oscar Jorda & Selva Demiralp & Holly Liu & Jeffrey Williams, 2003. "The Announcement Effect: Evidence from Open Market Desk Data," Working Papers, University of California, Davis, Department of Economics 14, University of California, Davis, Department of Economics.
  15. Ángel León & Francis Benito & Juan Nave, 2006. "Modeling The Euro Overnight Rate," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2006-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  16. Benjamin M. Friedman & Kenneth N. Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," NBER Working Papers 16165, National Bureau of Economic Research, Inc.
  17. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, Elsevier, vol. 50(2), pages 349-376, February.
  18. Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003. "The overnight interbank market: Evidence from the G-7 and the Euro zone," Journal of Banking & Finance, Elsevier, Elsevier, vol. 27(10), pages 2045-2083, October.
  19. Gaspar, Vítor & Pérez-Quirós, Gabriel & Rodriguez, Hugo, 2004. "Interest Rate Determination in the Interbank Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4516, C.E.P.R. Discussion Papers.
  20. Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2008. "Interest rate dispersion and volatility in the market for daily funds," European Economic Review, Elsevier, Elsevier, vol. 52(3), pages 413-440, April.
  21. Caroline Jardet & Gaelle Le Fol, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
  22. Daniel L. Thornton, 2006. "The daily liquidity effect," Working Papers, Federal Reserve Bank of St. Louis 2006-020, Federal Reserve Bank of St. Louis.
  23. Leonardo Bartolini & Spence Hilton & Alessandro Prati, 2005. "Money market integration," Staff Reports, Federal Reserve Bank of New York 227, Federal Reserve Bank of New York.
  24. Francisco Alonso & Roberto Blanco, 2005. "Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?," Banco de Espa�a Working Papers 0541, Banco de Espa�a.
  25. Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series, European Central Bank 0080, European Central Bank.
  26. Morten L. Bech & Todd Keister, 2013. "Liquidity regulation and the implementation of monetary policy," Departmental Working Papers, Rutgers University, Department of Economics 201325, Rutgers University, Department of Economics.
  27. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated Monetary Policy and the Dynamic Behaviour of the Term Structure of Interest Rates," Research Discussion Papers, Bank of Finland 12/1999, Bank of Finland.
  28. Colarossi, Silvio & Zaghini, Andrea, 2007. "Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission," CFS Working Paper Series 2007/16, Center for Financial Studies (CFS).
  29. Todd Keister & Antoine Martin & James McAndrews, 2008. "Divorcing money from monetary policy," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Sep, pages 41-56.
  30. Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2003. "Optimal allotment policy in the Eurosystem's main refinancing operations," Working Paper Series, European Central Bank 0295, European Central Bank.
  31. Würtz, Flemming Reinhardt, 2003. "A comprehensive model on the euro overnight rate," Working Paper Series, European Central Bank 0207, European Central Bank.
  32. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2009. "Optimal allotment policy in central bank open market operations," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(4), pages 405-420.
  33. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
  34. Moschitz, Julius, 2004. "The determinants of the overnight interest rate in the euro area," Working Paper Series, European Central Bank 0393, European Central Bank.
  35. Anne Vila Wetherilt, 2003. "Money market operations and volatility of UK money market rates," Bank of England working papers, Bank of England 174, Bank of England.
  36. Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention," Staff Reports, Federal Reserve Bank of New York 109, Federal Reserve Bank of New York.
  37. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper, Tor Vergata University, CEIS 24, Tor Vergata University, CEIS.
  38. Bindseil, Ulrich, 2001. "Central bank forecasts of liquidity factors: Quality, publication and the control of the overnight rate," Working Paper Series, European Central Bank 0070, European Central Bank.
  39. Giuseppe Bruno & Ernesto Maurizio Ordine & Antonio Scalia, 2005. "BanksÂ’ participation in the Eurosystem auctions and money market integration," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 562, Bank of Italy, Economic Research and International Relations Area.
  40. Whitesell, William, 2006. "Interest rate corridors and reserves," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(6), pages 1177-1195, September.
  41. Ulrich Bindseil, 2002. "Central bank forecasts of liquidity factors and the control of short term interest rates," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 55(220), pages 13-37.
  42. Ruth Judson & Elizabeth Klee, 2009. "Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-25, Board of Governors of the Federal Reserve System (U.S.).
  43. Thomas B. King, 2003. "Discipline and liquidity in the market for federal funds," Supervisory Policy Analysis Working Papers, Federal Reserve Bank of St. Louis 2003-02, Federal Reserve Bank of St. Louis.
  44. Luis A. Ahumada & Álvaro García & Luis Opazo & Jorge Selaive, 2009. "Interbank Rate and the Liquidity of the Market," Working Papers Central Bank of Chile, Central Bank of Chile 516, Central Bank of Chile.
  45. Selva Demiralp, 2001. "Monetary policy in a changing world: rising role of expectations and the anticipation effect," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-55, Board of Governors of the Federal Reserve System (U.S.).
  46. Palombini, Edgardo, 2003. "Volatility and liquidity in the Italian money market," MPRA Paper 42699, University Library of Munich, Germany.
  47. Beaupain, Renaud & Durré, Alain, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series, European Central Bank 1500, European Central Bank.
  48. Bindseil, Ulrich, 2004. "The operational target of monetary policy and the rise and fall of reserve position doctrine," Working Paper Series, European Central Bank 0372, European Central Bank.
  49. Kristoffer Nimark, 2006. "Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market," RBA Research Discussion Papers, Reserve Bank of Australia rdp2006-05, Reserve Bank of Australia.
  50. Kempa, Michal, 2007. "What determines commercial banks’ demand for reserves in the interbank market," Research Discussion Papers, Bank of Finland 30/2007, Bank of Finland.
  51. Milton Marquis, 2002. "Setting the interest rate," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue oct11.
  52. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series 46, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  53. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 30(C), pages 172-190.
  54. Ulrike Neyer & Jurgen Wiemers, 2004. "Why Do We Have an Interbank Money Market?," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 27, Money Macro and Finance Research Group.
  55. Karel Brůna, 2006. "Glenn Rudebusch’s View on the Targeting of Short-Term Interest Rates," Český finanční a účetní časopis, University of Economics, Prague, University of Economics, Prague, vol. 2006(1), pages 163-169.
  56. Benito, Francis & Leon, Angel & Nave, Juan, 2007. "Modeling the Euro overnight rate," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(5), pages 756-782, December.
  57. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers, University of Adelaide, School of Economics 2011-26, University of Adelaide, School of Economics.
  58. Smith, R. Todd & van Egteren, Henry, 2005. "Interest rate smoothing and financial stability," Review of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 147-171.
  59. Ulrich Bindseil, 2005. "Over- and Underbidding in Central Bank Open Market Operations Conducted as Fixed Rate Tender," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 6(1), pages 95-130, 02.
  60. Ulrich Bindseil, 2002. "Central bank forecasts of liquidity factors and the control of short term interest rates," BNL Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 55(220), pages 13-37.
  61. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
  62. Kempa , Michal, 2006. "Money market volatility, A simulation study," Research Discussion Papers, Bank of Finland 13/2006, Bank of Finland.