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Day-to-day monetary policy and the volatility of the federal funds interest rate
Bartolini, Leonardo (contributor);  … - 2000 - [Elektronische Ressource]
"We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...
Persistent link: https://www.econbiz.de/10001512198
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Intermediate targets and indicators for monetary policy : a critical survey
1990
Persistent link: https://www.econbiz.de/10000838778
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The overnight interbank market : evidence from the G-7 and the euro zone
Prati, Alessandro (contributor);  … - 2001 - [Elektronische Ressource]
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...
Persistent link: https://www.econbiz.de/10001630855
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The execution of monetary policy : a tale of two central banks
Bartolini, Leonardo (contributor);  … - 2003 - [Elektronische Ressource]
The Eurosystem and the U.S. Federal Reserve System follow quite different approaches to the execution of monetary policy. The former institution adopts a "hands-off" approach that largely delegates to depository institutions the task of stabilizing their own liquidity at high frequency. The...
Persistent link: https://www.econbiz.de/10001752004
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
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The impact of stock index arbitrage on equity markets - theory and evidence
Bhatt, Swati - Federal Reserve Bank of New York - 1987
Persistent link: https://www.econbiz.de/10005717216
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Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006
negative and thus offer arbitrage opportunities. …
Persistent link: https://www.econbiz.de/10005526320
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Inference, arbitrage, and asset price volatility
Adrian, Tobias - Federal Reserve Bank of New York - 2004
This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...
Persistent link: https://www.econbiz.de/10005420543
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Credit spreads and monetary policy
Cúrdia, Vasco; Woodford, Michael - Federal Reserve Bank of New York - 2009
We consider the desirability of modifying a standard Taylor rule for a central bank's interest rate policy to incorporate either an adjustment for changes in interest rate spreads (as proposed by Taylor [2008] and McCulley and Toloui [2008]) or a response to variations in the aggregate volume of...
Persistent link: https://www.econbiz.de/10005078433
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Evaluating interest rate rules in an estimated DSGE model
Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; … - Federal Reserve Bank of New York - 2011
The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...
Persistent link: https://www.econbiz.de/10009292979