Basistha, Arabinda; Startz, Richard - In: Journal of Applied Econometrics 19 (2004) 3, pp. 339-354
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 other when the Fed is moving the desired rate to a new level. We find that the 1990s saw a longer duration in the...
