Sarno, Lucio; Thornton, Daniel L.; Wen, Yi - In: Oxford Bulletin of Economics and Statistics 69 (2007) 2, pp. 293-319
This paper compares the behaviour of the effective federal funds rate to 10 US interest rates with maturities ranging from overnight to 10 years. Using spectral estimation methods, we identified idiosyncratic shocks to the funds rate and provided evidence on their impact on other rates at...