Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
建立了一个银行间货币市场模型，纳入央行干预和定期准备金要求，分析利润最大化银行与高频利率目标央行的互动，预测联邦基金利率波动性的双周模式及其对目标利率和干预程序变化的反应，理论结果与美国联邦基金市场利率波动的实证模式一致。
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high-frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its response to changes in target rates and in intervention procedures, such as those implemented by the Fed in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds.