Persistence and long memory in monetary policy spreads

References

• Adensted, R. K. 1974. “On Large-Sample Estimation for the Mean of a Stationary Random Sequence.” Annals of Statistics 2 (6): 1095–1107. doi:10.1214/aos/1176342867.
   Web of Science ®Google Scholar
• Bartolini, L., and A. Prati. 2006. “Cross-Country Differences in Monetary Policy Execution and Money Market rates’ Volatility.” European Economic Review 50 (2): 349–376. doi:10.1016/j.euroecorev.2004.09.015.
   Web of Science ®Google Scholar
• Bierens, H. J. 1997. “Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity with an Application to the US Price Level and Interest Rate.” Journal of Econometrics 81 (1): 29–64. doi:10.1016/S0304-4076(97)00033-X.
   Web of Science ®Google Scholar
• Bloomfield, P. 1973. “An Exponential Model in the Spectrum of a Scalar Time Series.” Biometrika 60 (2): 217–226. doi:10.1093/biomet/60.2.217.
   Web of Science ®Google Scholar
• Cassola, N., and C. Morana. 2010. “Comovements in Volatility in the Euro Money Market.” Journal of International Money and Finance 29 (3): 525–539. doi:10.1016/j.jimonfin.2009.07.003.
   Web of Science ®Google Scholar
• Colarossi, S., and A. Zaghini. 2009. “Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission.” International Finance 12 (2): 151–170. doi:10.1111/j.1468-2362.2009.01241.x.
   Web of Science ®Google Scholar
• Dahlhaus, R. 1989. “Efficient Parameter Estimation for Self-Similar Processes.” Annals of Statistics 17 (4): 1749–1766. doi:10.1214/aos/1176347393.
   Web of Science ®Google Scholar
• Dell’ariccia, G., P. Rabanal, and D. Sandri. 2018. “Unconventional Monetary Policies in the Euro Area, Japan and the United Kingdom.” The American Economic Review 32 (4): 142–172. doi:10.1257/jep.32.4.147.
   Google Scholar
• Gil-Alana, L. A. 2004. “The Use of the Bloomfield (1973) Model as an Approximation to ARMA Processes in the Context of Fractional Integration.” Mathematical and Computer Modelling 39 (4–5): 429–436. doi:10.1016/S0895-7177(04)90515-8.
   Web of Science ®Google Scholar
• Gil-Alana, L. A., and P. M. Robinson. 1997. “Testing of Unit Root and Other Nonstationaryhypotheses in Macroeconomic Time Series.” Journal of Econometrics 80 (2): 241–268. doi:10.1016/S0304-4076(97)00038-9.
   Web of Science ®Google Scholar
• Gonzalez-Paramo, J. M. 2011. Sovereign Contagion in Europe, Seminar of The. London: European Economics and Financial Centre.
   Google Scholar
• Granger, C. W. J. 1980. “Long Memory Relationships and the Aggregation of Dynamic Models.” Journal of Econometrics 14 (2): 227–238. doi:10.1016/0304-4076(80)90092-5.
   Web of Science ®Google Scholar
• Hakkio, C. S., and G. Sellon. 2000. “The Discount Window: Time for Reform?” Economic Review, Federal Reserve Bank of Kansas City, no. QII: 1–20.
   Google Scholar
• Hamilton, J. D. 1996. “Specification Testing in Marko-Switching Time Series Models.” Journal of Econometrics 70 (1): 127–157. doi:10.1016/0304-4076(69)41686-9.
   Web of Science ®Google Scholar
• Hamming, R. W. 1973. Numerical Methods for Scientists and Engineers. New York, US: Dover Publications Inc.
   Google Scholar
• Hassler, U., and D. Nautz. 2008. “On the Persistence of the Eonia Spread.” Economics Letters 101 (3): 184–187. doi:10.1016/j.econlet.2008.08.004.
   Web of Science ®Google Scholar
• Ho, C. 2008 Implementing Monetary Policy in the 2000s: Operating Procedures in Asia and Beyond, BIS Working Paper No 253.
   Google Scholar
• Hosking, J. R. M. 1981. “Fractional Differencing.” Biometrika 68 (1): 165–176. doi:10.1093/biomet/68.1.165.
   Web of Science ®Google Scholar
• Linzert, T., and S. Schmidt. 2011. “What Explains the Spread Between the Euro Overnight Rate and the Ecb‘s Policy Rate?” International Journal of Finance & Economics 16 (3): 275–283. doi:10.1002/ijfe.430.
   Web of Science ®Google Scholar
• Nautz, D., and U. Hassler. 2009. “On the Persistence of the Eonia Spread.” Economics Letters 101 (3): 184–187. doi:10.1016/j.econlet.2008.08.004.
   Web of Science ®Google Scholar
• Nautz, D., and C. J. Offermanns. 2008. “Volatility Transmission in the European Money Market.” The North American Journal of Economics and Finance 19 (1): 23–39. doi:10.1016/j.najef.2007.07.005.
   Web of Science ®Google Scholar
• Nautz, D., and J. Scheitenhauer. 2011. “Monetary Policy Implementation and Overnight Rate Persistence.” Journal of International Money and Finance 30 (7): 1375–1386. doi:10.1016/j.jimonfin.2011.07.005.
   Web of Science ®Google Scholar
• Nautz, D., and S. Schmidt. 2009. “Monetary Policy Implementation and the Federal Funds Rate.” Journal of Banking & Finance 33 (7): 1274–1284. doi:10.1016/j.jbankfin.2009.01.009.
   Web of Science ®Google Scholar
• Perez Quiros, G., and H. Rodriguez Mendizabal. 2006. “The Daily Market for Funds in Europe: What Has Changed with the EMU?” Journal of Money, Credit, and Banking 38 (1): 91–118. doi:10.1353/mcb.2006.0023.
   Web of Science ®Google Scholar
• Robinson, P. M. 1994. “Efficient Tests of Nonstationary Hypotheses.” Journal of the American Statistical Association 89 (428): 1420–1437. doi:10.1080/01621459.1994.10476881.
   Web of Science ®Google Scholar
• Smyth, G. K. 1998. Polynomial Approximation. Chichester: John Wiley & Sons, Ltd.
   Google Scholar
• Thornton, D. L. 2006. “When Did the FOMC Begin Targeting the Federal Funds Rate? What the Verbatim Transcripts Tell Us.” Journal of Money, Credit, and Banking 38 (8): 2039–2071. doi:10.1353/mcb.2007.0010.
   Web of Science ®Google Scholar
• Tomasevic, N. M., and T. Stanivuk. 2009. “Regression Analysis and Approximation by Means of Chebyshev Polynomial.” Informatologia 42 (3): 166–172.
   Google Scholar