What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective*
用频谱估计方法比较联邦基金利率与其他10种美国利率的行为，发现联邦基金利率在高频部分含有独特信息，但仅对短期利率有影响。
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.