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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2023-03-12T15:29:44Z | - |
dc.date.available | 2023-03-12T15:29:44Z | - |
dc.date.issued | 2023-03-05 | - |
dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002- 0144-4135 | - |
dc.identifier.citation | Caporale, G.M. and Gil-Alana, L.A. (2023) 'Persistence and long memory in monetary policy spreads', Applied Economics, 56 (20), pp. 2422 - 2433. doi: 10.1080/00036846.2023.2186371. | en_US |
dc.identifier.issn | 0003-6846 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/26127 | - |
dc.description.abstract | The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the US Fed, the ECB and the BoE and also their policy responses to the Great Financial Crisis (GFC). Fractional integration and long-memory methods are then applied to investigate how those affected the persistence of policy spreads (i.e. the difference between overnight rates and policy rates) during different sub-periods. It is found that this increased sharply during the GFC but has fallen back in recent years. In the case of the ECB the introduction of the new €-STR benchmark in particular appears to have made monetary policy more effective. | en_US |
dc.description.sponsorship | The work was supported by the Ministerio de Ciencia e Innovación [PID2020-113691RB-I00 funded by MCIN/AEI/ 10.13039/]. | en_US |
dc.format.extent | 2422 - 2433 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Routledge (Taylor and Francis Group) | en_US |
dc.rights | Copyright © 2023 Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 05 Mar 2023, available online: https://www.tandfonline.com/doi/full/10.1080/00036846.2023.2186371. | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc/4.0/ | - |
dc.subject | interest rates | en_US |
dc.subject | persistence | en_US |
dc.subject | central banks | en_US |
dc.subject | long memory | en_US |
dc.subject | fractional integration | en_US |
dc.title | Persistence and long memory in monetary policy spreads | en_US |
dc.type | Article | en_US |
dc.date.dateAccepted | 2023-02-06 | - |
dc.identifier.doi | https://doi.org/10.1080/00036846.2023.2186371 | - |
dc.relation.isPartOf | Applied Economics | - |
pubs.issue | 20 | - |
pubs.publication-status | Published | - |
pubs.volume | 56 | - |
dc.identifier.eissn | 1466-4283 | - |
dc.rights.license | https://creativecommons.org/licenses/by-nc/4.0/legalcode.en | - |
dc.rights.holder | Informa UK Limited, trading as Taylor & Francis Group | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2023 Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 05 Mar 2023, available online: https://www.tandfonline.com/doi/full/10.1080/00036846.2023.2186371. | 624.3 kB | Adobe PDF | View/Open |
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