3 datasets found

We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the...

We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short-term market...

We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate...