Trends in Federal Funds Rate Volatility

7 Pages Posted: 16 Aug 2005

See all articles by Spence Hilton

Spence Hilton

Federal Reserve Bank of New York - Research Group; National Bureau of Economic Research (NBER)

Abstract

The behavior of the fed funds rate - a key monetary policy target and a benchmark for short-term interest rates - is closely watched by many market participants. After a decade marked by periodic bouts of high volatility in the funds rate, volatility has declined sharply since 2001. An analysis of the major factors influencing the rate's behavior shows that some of the forces behind the current fall in volatility first emerged in response to the earlier increases.

Keywords: Federal Funds, open market operations

JEL Classification: E58

Suggested Citation

Hilton, Spence, Trends in Federal Funds Rate Volatility. Current Issues in Economics and Finance, Vol. 11, No. 7, July 2005, Available at SSRN: https://ssrn.com/abstract=782326

Spence Hilton (Contact Author)

Federal Reserve Bank of New York - Research Group ( email )

33 Liberty Street
New York, NY 10045
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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