Optimal Money Market Behaviour and Sterling Interest Rates
The determination of money market interest rates is studied in a model in which the magnitude, but not the timing, of a future change in the Bank of England's official lending rate is known. When the bank is expected to raise its official rate, short-term market rates may be less than the official rate as a result of the bank's willingness to lend at a range of maturities. This perverse behavior of interest rates can act against the bank's interests, and could be eliminated by a procedural change. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 63 (1995)
Issue (Month): 4 (December)
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