The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation
Citations
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Cited by:
- Daniel L. Thornton, 2004.
"Testing the expectations hypothesis: some new evidence for Japan,"
Review,
Federal Reserve Bank of St. Louis, issue Sep, pages 21-40.
- Thornton, Daniel-L, 2004. "Testing the Expectations Hypothesis: Some New Evidence for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
- Daniel L. Thornton, 2003. "Testing the expectations hypothesis: some new evidence for Japan," Working Papers 2003-033, Federal Reserve Bank of St. Louis.
- Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
- 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., vol. 15(4), pages 316-330.
- Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers 167, Banque de France.
- Daniel L. Thornton, 2003.
"Monetary policy transparency: transparent about what?,"
Manchester School,
University of Manchester, vol. 71(5), pages 478-497, September.
- Daniel L. Thornton, 2003. "Monetary policy transparency: transparent about what?," Working Papers 2002-028, Federal Reserve Bank of St. Louis.
- Amir KIA, "undated". "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," EcoMod2009 21500052, EcoMod.
- Rocha, Manuel Duarte, 2012. "Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 64-80.
- Peter Tillmann, 2003.
"Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates,"
Bonn Econ Discussion Papers
bgse27_2003, University of Bonn, Germany.
- Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
- Kyrtsou, Catherine & Vorlow, Costas, 2009.
"Modelling non-linear comovements between time series,"
Journal of Macroeconomics,
Elsevier, vol. 31(1), pages 200-211, March.
- Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.
- Kristofer Månsson & Ghazi Shukur & Pär Sjölander, 2013. "Asymmetric quantile analysis of the Swedish mortgage price discovery process," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3088-3101, July.
- Robert Sollis & Mark E. Wohar, 2006. "The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 139-153.
- Julius Moschitz, 2009. "Monetary policy implementation and the Euro area money market," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 39-57.
- Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007.
"The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 42(01), pages 81-100, March.
- Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers 2003-021, Federal Reserve Bank of St. Louis.
- Giorgio Valente & Daniel Thornton & Lucio Sarno, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Working Papers wp05-13, Warwick Business School, Finance Group.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," CEPR Discussion Papers 5259, C.E.P.R. Discussion Papers.
- Sánchez-Fung, José R., 2008.
"The day-to-day interbank market, volatility, and central bank intervention in a developing economy,"
MPRA Paper
15648, University Library of Munich, Germany.
- Sanchez-Fung, Jose R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," Economics Discussion Papers 2008-2, School of Economics, Kingston University London.
- Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002.
"Retail Interest Rate Pass-Through - The Irish Experience,"
The Economic and Social Review,
Economic and Social Studies, vol. 33(2), pages 223-246.
- Bredin, Don & Fitzpatrick, Trevor & O'Reilly, Gerard, 2001. "Retail Interest Rate Pass-Through: The Irish Experience," Research Technical Papers 6/RT/01, Central Bank of Ireland.
- Valadkhani, Abbas & Bollen, Bernard, 2013. "An alternative approach to the modelling of interest rate pass through and asymmetric adjustment," Economics Letters, Elsevier, vol. 120(3), pages 491-494.
- Apergis, Nicholas & Cooray, Arusha, 2015. "Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 155-172.
- Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
- Pawel Milobedzki, 2010. "The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 81-95.
- Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
- Valadkhani, Abbas, 2013. "The pricing behaviour of Australian banks and building societies in the residential mortgage market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 133-151.
- Lucio Sarno & Daniel L. Thornton, 2004.
"The efficient market hypothesis and identification in structural VARs,"
Review,
Federal Reserve Bank of St. Louis, issue Jan, pages 49-60.
- Lucio Sarno & Daniel L. Thornton, 2003. "The efficient market hypothesis and identification in structural VARs," Working Papers 2003-032, Federal Reserve Bank of St. Louis.
- Abbas Valadkhani & Sajid Anwar, 2012. "Interest Rate Pass-Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 341-350, September.
- Puriya Abbassi & Dieter Nautz & Christian Offermanns, 2010.
"Interest Rate Dynamics and Monetary Policy Implementation in Switzerland,"
Swiss Journal of Economics and Statistics (SJES),
Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 313-340, March.
- Puriya Abbassi & Dieter Nautz & Christian J. Offermanns, 2009. "Interest Rate Dynamics and Monetary Policy Implementation in Switzerland," SFB 649 Discussion Papers SFB649DP2009-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Kia, Amir, 2010. "Overnight monetary policy in the United States: Active or interest-rate smoothing?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 378-391, March.
- Dieter Nautz & Christian J. Offermanns, 2007.
"The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
- Offermanns, Christian J. & Nautz, Dieter, 2006. "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies 2006,01, Deutsche Bundesbank.
- Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006.
"The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates,"
The Journal of Business,
University of Chicago Press, vol. 79(3), pages 1193-1224, May.
- Giorgio Valente & Mark Taylor & Lucio Sarno & Richard Clarida, 2004. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," Working Papers wp04-13, Warwick Business School, Finance Group.
- Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
- Amir Kia, 2005. "Overnight Monetary Policy in the United States: Active or Interest-Rate Smoothing?," Carleton Economic Papers 05-07, Carleton University, Department of Economics, revised Mar 2010.
- Anne Vila Wetherilt, 2003. "Money market operations and short-term interest rate volatility in the United Kingdom," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 701-719.
- repec:eee:finana:v:52:y:2017:i:c:p:1-8 is not listed on IDEAS
- Marco A. Espinosa-Vega & Alessandro Rebucci, 2004.
"Retail Bank Interest Rate Pass-through: Is Chile Atypical?,"
Central Banking, Analysis, and Economic Policies Book Series,in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 5, pages 147-182
Central Bank of Chile.
- Marco A. Espinosa-Vega & Alessandro Rebucci, 2003. "Retail Bank Interest Rate Pass-Through: Is Chile Atypical?," Working Papers Central Bank of Chile 221, Central Bank of Chile.
- Alessandro Rebucci & Marco A Espinosa-Vega, 2003. "Retail Bank Interest Rate Pass-Through; Is Chile Atypical?," IMF Working Papers 03/112, International Monetary Fund.
- Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012.
"A threshold cointegration analysis of interest rate pass-through to UK mortgage rates,"
Economic Modelling,
Elsevier, vol. 29(6), pages 2504-2513.
- Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The Univeristy of Manchester.
- repec:taf:oaefxx:v:3:y:2015:i:1:p:1024927 is not listed on IDEAS
- David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee & Cailey Stevens, 2017. "Take it to the Limit : The Debt Ceiling and Treasury Yields," Finance and Economics Discussion Series 2017-052, Board of Governors of the Federal Reserve System (U.S.).
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005.
"Federal Funds Rate Prediction,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 37(3), pages 449-471, June.
- Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
- Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
- Giorgio Valente & Daniel Thornton & Lucio Sarno, 2004. "Federal Funds Rate Prediction," Working Papers wp04-12, Warwick Business School, Finance Group.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
- Valadkhani, Abbas & Worthington, Andrew, 2014. "Asymmetric behavior of Australia's Big-4 banks in the mortgage market," Economic Modelling, Elsevier, vol. 43(C), pages 57-66.
- Amir Kia & Hilde Patron, 2004. "Market-Based Monetary Policy Transparency Index, Risk and Volatility - The Case of the United States," Carleton Economic Papers 04-07, Carleton University, Department of Economics.
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- Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
- Nautz, Dieter & Schmidt, Sandra, 2009.
"Monetary policy implementation and the federal funds rate,"
Journal of Banking & Finance,
Elsevier, vol. 33(7), pages 1274-1284, July.
- 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.
- Chong, Beng Soon & Liu, Ming-Hua & Shrestha, Keshab, 2006. "Monetary transmission via the administered interest rates channel," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1467-1484, May.
- repec:eee:ecofin:v:42:y:2017:i:c:p:597-617 is not listed on IDEAS
- N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
- Su Zhou, 2007. "The dynamic relationship between the federal funds rate and the Eurodollar rates under interest-rate targeting," Journal of Economic Studies, Emerald Group Publishing, vol. 34(2), pages 90-102, May.
- Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 525-535.
- Thomas B. King, 2003. "Discipline and liquidity in the market for federal funds," Supervisory Policy Analysis Working Papers 2003-02, Federal Reserve Bank of St. Louis.
- Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).
- Masih, A. Mansur M. & Ryan, Vicky, 2010. "An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: s," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(3), pages 329-359.
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- Krishna M. Kasibhatla, 2012. "Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate: An Empirical Investigation," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 125-138.
- Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
- Biqing Cai & Dag Tjøstheim, 2015. "Nonparametric Regression Estimation for Multivariate Null Recurrent Processes," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 1-24, April.
- Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017.
"Persistence and cycles in the us federal funds rate,"
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- 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.
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