federal funds rate
Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target
... We propose a state space mixed model with stochastic volatility for ordinal-response time series data. For parameter estimation, we design an efficient Markov chain Monte Carlo algorithm. We illustrate our method with an ...
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The evolving role and definition of the federal funds rate in the conduct of U S monetary policy
... the federal funds rate as an indicator variable for monetary ...the funds rate will carry valuable information about the future behavior of the Fed’s goal ...the funds ...
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Decomposing Federal Funds Rate forecast uncertainty using real time data
... Output is real GNP (after 1993 real GDP) while the inflation rate is 100 times the quarterly log difference of the GNP/GDP deflator. The output and inflation series are grouped into data vintages containing only time ...
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The Macroeconomic Impact of Shocks in the US Federal Funds Rate on the Republic of South Africa: An SVAR Analysis
... US federal funds ...policy rate (the federal funds rate) on a set of macroeconomic variables from South Africa, a country with a floating exchange and an inflation targeting ...
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The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation
... overnight federal funds rate and the 3-month Treasury bill (or T- bill) ...The Federal Reserve (Fed) implements monetary policy by targeting the effective federal funds ...
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The federal funds rate in the post Volcker era: evidence from Basic VAR
... One of the secondary reasons for undertaking this work is to see if and how the historical developments of the early 80s affected the behavior of the federal funds rate in relation to the real ...
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Federal funds rate prediction
... FF rate in sample and that accounting for nonlinearity in the unknown true data generating process governing the FF rate may yield satisfactory characterizations of the time-series properties of the FF ...
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The E Monetary Theory
... the federal funds rate is committed at the lower bound, the higher is inflation in the short ...short-term rate near zero for a long time pushes down the loan rate ...short-term ...
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Explaining ECB and Fed interest rate correlation: Economic interdependence and optimal monetary policy
... interest rate reaction functions for the central banks that include macroeconomic variables and control for the stage of the business ...lagged Federal Funds Rate and show that the U.S. ...
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Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock
... of federal funds rate in the high volatility regime, but the opposite occurs in the low volatility regime, suggesting that the direct and indirect effect of monetary policy are regime- ...from ...
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The U S foreclosure crisis: a two pronged assault on the U S economy
... the federal funds rate target and they continued to fall, and by more than the Fed cuts, at least until recently, when inflation and policy risk scares began to push rates higher, at least ...with ...
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The E Monetary Theory
... the federal funds rate; hence, our model can exhibit the long duration of federal funds rate at the lower bound after quantitative easing while this link is often missing in the ...
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Regime dependent effects of monetary policy shocks Evidence from threshold vector autoregressions
... (e.g. Christiano et al., 1999). We use quarterly observations from 1965Q3 to 2007Q2 on real GDP, the GDP deflator and the monetary aggregate M1. The indicator for monetary policy is the Federal Funds ...
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Estimating Monetary Policy Reaction Functions Using Quantile Regressions
... the Federal Reserve sets interest rates when deviating from the conditional mean it is of interest whether these deviations are related to the business ...interest rate is ...the Federal Funds ...
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The High Levels of Excess Reserves 2008 2012: An Investigation into the Determinants of the U S Banks' Liquidity Hoarding during the Global Financial Crisis
... the Federal Reserve feel the need to take such dramatic action and give banks such high amounts of reserves? We must look at the Fall of 2007 to understand the circumstances that brought us here ...the ...
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Anticipation of Monetary Policy and Open Market Operations
... expected) federal funds rate. Based on the actual rules for Federal Reserve balances, overdraft fees are 4 percent; reserve deficiencies are penal- ized at 1 percentage point over the primary ...
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The Effects of the Content of FOMC Communications on US Treasury Rates
... of Federal Open Market Committee text content on the direction of short- and medium-term interest rate ...interest rate movements, and our prediction results average across multiple training-test ...
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The Instability in the Monetary Policy Reaction Function and the Estimation of Monetary Policy Shocks
... emphasized by Bernanke and Mihov (1998), who state that the federal funds rate should not be used as a monetary policy indicator for the time period between 1979 and 1982. Although the Chow test of a ...
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Central bank – the root cause of poverty, tax, and deficit
... the funds rate has “important predictive content for ...manipulating federal funds rate. As the funds rate increases other interest rates also increase and thus the ...
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The Taylor rule and interest rate uncertainty in the U S 1970 2006
... Figure 5 shows the various elements of the two-period forecast uncertainty about the Federal Funds Rate. The time series of uncertainty about the reaction function coefficients is very similar to the ...
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