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A Model of the Federal Funds Rate Target
11 references·16 citing·47 second hop
A Model of the Federal Funds Rate Target (2002)A Model of the Federal Funds Rate TargetMonetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model (1998)Performance of Operational Po…Monetary policy and the term structure of nominal interest rates: Evidence and theory (1998)Monetary policy and the term …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The identification of monetary policy disturbances explaining the liquidity puzzle (1995)The identification of monetar…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…An ordered probit analysis of transaction stock prices (1990)An ordered probit analysis of…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …The econometrics of ultra-high frequency data /The econometrics of ultra-hig…Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Extreme return connectedness …Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) (2019)Dynamic correlations between …Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited (2016)Semiparametric Estimates of M…Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Quantitative Easing and Volat…Trade Dynamics in the Market for Federal Funds (2015)Trade Dynamics in the Market …Asset Price Misalignments and the Role of Money and Credit* (2010)Asset Price Misalignments and…A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)A reduced form framework for …Modelling Financial High Frequency Data Using Point Processes (2009)Modelling Financial High Freq…Glossary to ARCH (GARCH) (2008)Glossary to ARCH (GARCH)The FOMC: Preferences, Voting, and Consensus (2005)The FOMC: Preferences, Voting…Nonparametric specification tests for conditional duration models (2004)Nonparametric specification t…Dynamic Forecasts of Qualitative Variables (2004)Dynamic Forecasts of Qualitat…Why Are Prices Sticky? 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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)On Stock Market Returns and Monetary Policy (1997)The Pre-FOMC Announcement Drift (2012)Financial Heterogeneity and the Investment Channel of Monetary Policy (2020)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
this work references cited by second hop

References

  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 1995The identification of monetary policy disturbances explaining the liquidity puzzle471 cited
  • 1998Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model440 cited
  • 1990An ordered probit analysis of transaction stock prices418 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 1998Monetary policy and the term structure of nominal interest rates: Evidence and theory291 cited

Cited by

  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
  • 2015Trade Dynamics in the Market for Federal Funds263 cited
  • 2016Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

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242 cited
  • 2010A reduced form framework for modeling volatility of speculative prices based on realized variation measures239 cited
  • 2009Modelling Financial High Frequency Data Using Point Processes184 cited
  • 2016Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited176 cited
  • 2008Glossary to ARCH (GARCH)172 cited
  • 2010Asset Price Misalignments and the Role of Money and Credit*154 cited
  • 2019Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)150 cited
  • 2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation144 cited
  • 2004Dynamic Forecasts of Qualitative Variables120 cited
  • 2003Backtesting Value-at-Risk: A Duration-Based Approach119 cited
  • 2003Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices108 cited
  • 2004Nonparametric specification tests for conditional duration models105 cited
  • 2005The FOMC: Preferences, Voting, and Consensus98 cited
  • 2003Early Warning Systems97 cited