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Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
16 references·6 citing·43 second hop
Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate (2001)Day-to-Day Monetary Policy and the Volati…A Model of the Federal Funds Rate Target (2002)A Model of the Federal Funds …Measuring Monetary Policy (1998)Measuring Monetary PolicyEstimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…A model of target changes and the term structure of interest rates (1997)A model of target changes and…The Daily Market for Federal Funds (1996)The Daily Market for Federal …Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Day-of-the-week effects in federal funds rates: Further empirical findings (1995)Day-of-the-week effects in fe…Estimating the Open Market Desk's Daily Reaction Function (1993)Estimating the Open Market De…Bank window dressing: Theory and evidence (1992)Bank window dressing: Theory …Interest rates and the conduct of monetary policy (1991)Interest rates and the conduc…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability (1988)The Micromechanics of the Fed…Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week (1986)Money Announcements, The Dema…A Micro Model of the Federal Funds Market (1985)A Micro Model of the Federal …COMMERCIAL BANK RESERVE MANAGEMENT IN A STOCHASTIC MODEL: IMPLICATIONS FOR MONETARY POLICY (1968)COMMERCIAL BANK RESERVE MANAG…Persistence and Cycles in the US Federal Funds Rate (2012)Persistence and Cycles in the…Interest on Reserves and Daylight Credit (2007)Interest on Reserves and Dayl…The Daily Liquidity Effect (2006)The Daily Liquidity EffectBanks' Participation in the Eurosystem Auctions and Money Market Integration (2003)Banks' Participation in the E…The Microstructure of the Euro Money Market (2001)The Microstructure of the Eur…Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention (2001)Banks’ reserve management, tr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model (1970)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)The Information in Long-Maturity Forward Rates (1987)The identification of monetary policy disturbances explaining the liquidity puzzle (1995)Firm Size and Cyclical Variations in Stock Returns (2000)Optimal Interest-Rate Smoothing (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Interpreting the macroeconomic time series facts (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Trade Dynamics in the Market for Federal Funds (2015)Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Cointegration and Tests of Present Value Models (1987)New techniques to extract market expectations from financial instruments (1997)The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence (1999)The term structure of very short-term rates: New evidence for the expectations hypothesis (2000)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Lending relationships in the interbank market (2008)Liquidity in Asset Markets With Search Frictions (2009)Efficient estimation of conditional variance functions in stochastic regression (1998)Quadratic Term Structure Models: Theory and Evidence (2002)Alternative approaches to the theory of the banking firm (1980)Monetary Theory and Policy, 2nd Edition (2003)Funding liquidity risk: Definition and measurement (2012)Some Lessons from the Yield Curve (1995)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence (2000)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 1991Interest rates and the conduct of monetary policy464 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1968COMMERCIAL BANK RESERVE MANAGEMENT IN A STOCHASTIC MODEL: IMPLICATIONS FOR MONETARY POLICY326 cited
  • 2002A Model of the Federal Funds Rate Target262 cited
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  • 1988The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability114 cited
  • 1993Estimating the Open Market Desk's Daily Reaction Function94 cited
  • 1995Day-of-the-week effects in federal funds rates: Further empirical findings

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82 cited
  • 1986Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week79 cited
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    • 2001Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention71 cited
    • 2001The Microstructure of the Euro Money Market38 cited
    • 2007Interest on Reserves and Daylight Credit32 cited
    • 2003Banks' Participation in the Eurosystem Auctions and Money Market Integration32 cited
    • 2006The Daily Liquidity Effect16 cited
    • 2012Persistence and Cycles in the US Federal Funds Rate15 cited