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What's unique about the federal funds rate? Evidence from a spectral perspective
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Sarno, Lucio, Thornton, Daniel L. and Wen, Yi. (2007) What's unique about the federal funds rate? Evidence from a spectral perspective. Oxford Bulletin of Economics and Statistics, Vol.69 (No.2). pp. 293-319. ISSN 0305-9049
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Official URL: http://dx.doi.org/10.1111/j.1468-0084.2006.00444.x
Abstract
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 various frequencies. Our results suggest that, while all of the interest rates examined have common shocks at low frequencies, the federal funds rate contains some unique information at high frequency, although this information appears to be relevant only at the short end of the term structure. In turn, these results are open to various alternative interpretations.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences Q Science > QA Mathematics |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group |
| Journal or Publication Title: | Oxford Bulletin of Economics and Statistics |
| Publisher: | Wiley-Blackwell Publishing, Inc |
| ISSN: | 0305-9049 |
| Date: | April 2007 |
| Volume: | Vol.69 |
| Number: | No.2 |
| Number of Pages: | 27 |
| Page Range: | pp. 293-319 |
| Identification Number: | 10.1111/j.1468-0084.2006.00444.x |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/32014 |
Data sourced from Thomson Reuters' Web of Knowledge
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