@techreport{NBERw5944,
 title = "Interest Rate Targeting and the Dynamics of Short-Term Rates",
 author = "Pierluigi Balduzzi and Giuseppe Bertola and Silverio Foresi and Leora Klapper",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "5944",
 year = "1997",
 month = "February",
 URL = "http://www.nber.org/papers/w5944",
 abstract = {We find that in 1989-1996, when U.S. monetary policy tightly targeted overnight fed funds rates, the volatility and persistence of spreads between target and term fed funds levels were larger for longer-maturity loans.  We show that such patterns are consistent with an expectational model where target revisions are infrequent and predictable.  In our model, the (autoco-) variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates are more heavily influenced by persistent expectations of future target changes.},
}