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dc.contributor.authorBalduzzi, Pierluigi-
dc.contributor.authorBertola, Giuseppe-
dc.contributor.authorForesi, Silverio-
dc.description.abstractWe explore the link between the overnight fed funds rate, which is actively targeted by the Federal Reserve, and longer-maturity term fed funds rates. We develop a term-structure model which explicitly accounts for interest rate targeting and for the predictability of future target changes. The model is able to replicate some qualitative features of the dynamic behavior of deviations of short-term rates from the target.en
dc.subjectfed funds ratesen
dc.subjectexpectation hypothesisen
dc.subjectautocovariance functionsen
dc.titleInterest Rate Targeting and the Dynamics of Short-Term Ratesen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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