Interest Rate Targeting and the Dynamics of Short-Term Rates
研究1989-1996年美国严格盯住隔夜联邦基金利率期间，期限联邦基金利差相对于目标利率的波动性和持续性，发现其随贷款期限增加而增强，并构建模型解释为对目标利率不频繁但可预测的调整。
A feature of U.S. monetary policy has been active targeting of overnight fed funds rates. We show that during a period of tight targeting (1989-1996) term fed funds spreads from the target displayed pronounced volatility and persistence, which increase with the maturity of the loan. We show that the increase in persistence is consistent with a model of infrequent, but predictable revisions of the target. In our model, the (autoco-)variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates reflect persistent expectations of the next target change.