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The B.E. Journal of Macroeconomics

Editor-in-Chief: Cavalcanti, Tiago / Mertens, Karel

Ed. by Abraham, Arpad / Carceles-Poveda , Eva / Debortoli, Davide / Kambourov, Gueorgui / Lambertini, Luisa / Pavoni, Nicola / Ruhl, Kim / Nimark, Kristoffer / Wang, Pengfei


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1935-1690
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Monetary Policy Shocks and Risk Premia in the Interbank Market

Asger M Wingender1

1University of Copenhagen,

Citation Information: The B.E. Journal of Macroeconomics. Volume 11, Issue 1, ISSN (Online) 1935-1690, DOI: https://doi.org/10.2202/1935-1690.2147, January 2011

Publication History

Published Online:
2011-01-28

Unexpected changes in the federal funds rate are shown to have significant effects on risk premia in the money market. The spread between interbank lending rates and U.S. Treasury bills tends to narrow when the FOMC decides to cut interest rates by more than the expectation implied by federal funds futures. However, rate cuts taking place at unscheduled FOMC meetings can increase risk premia during periods of financial distress, consistent with the view that central bank actions under such circumstances are perceived as signals that policy makers have private information of further unfavorable developments in financial markets.

Keywords: monetary policy; risk premia; interbank market; financial crises

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