Federal-funds-rate volatility and the reserve-maintenance period
โ Scribed by David Eagle
- Book ID
- 116173728
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 874 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1058-3300
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This study examines the response of the spot and futures interest rates on the fed funds, Eurodollar, and Libor to the listing of CME fed funds options. With the exception of the Libor futures, the introduction of options is associated with a decrease in the conditional volatility of the interest ra
The Federal funds rate is also an ingredient in marc sophisticated measures of monetary policy as described in Bernankc and Mihov (1995) and Strongin (1995). Those measures also incorporate the volumc of nonborrowed and total reserves. 2See, for example, McGee (1995).