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| Tekijä: | Sarno, L. Thornton, D. L. |
| Otsikko: | The dynamic relationship between the federal funds rate and the treasury bill rate: an empirical investigation |
| Lehti: | Journal of Banking and Finance
2003 : JUN, VOL. 27:6, p. 1079-1110 |
| Asiasana: | Interest rates Equilibrium analysis Nonlinear programming Money markets USA |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the dynamic relationship between two key US money market interest rates - the federal funds rate and the 3-month Treasury bill rate. Using daily data from 1974-1999, they find a long-run relationship between these two rates that is remarkably stable across monetary policy regimes of interest rate and monetary aggregate targeting. Employing a nonlinear asymmetric vector equilibrium correction model, which is novel in this context, they find that most of the adjustment toward the long-run equilibrium occurs through the FF. |
SCIMA