摘要
该文在总结有关美国联邦基金利率的日波动情况及其趋势和原因的研究成果的基础上,从存款准备金的制度、公开市场操作情况以及联储系统贴现制度三大相关因素考察了美国联邦基金利率的波动率历史。分析指出美国联邦基金有效利率的波动率自2001年起开始明显回落;关于次贷危机发生后联邦基金利率波动性的分析,指出因相关因素的影响波动率大幅上升,但由于制度改善和调控工具创新的综合效应,本次危机波动率未超过20年来的最高水平。
The article first reviews the previous research on the daily fluctuation of the US federal funds rate, its trend and reasons for the fluctuation. Secondly, it conducts a historical analysis of federal funds rate volatility by considering three major factors, namely the deposit reserve system, the open market operations and the federal discount system. It shows that the volatility of the effective federal funds rate has been decreasing since 2001. Finally, the article analyzes the fluctuation of the federal funds rate after the sub-prime crisis, and finds out that the volatility increased significantly because of relevant factors. However, it hasn＇t exceeded the highest point of the last 20 years during the crisis, owing to the comprehensive effects of the improved system and innovative regulatory measures.
出处
《中国货币市场》
2009年第5期22-25,共4页
China Money
关键词
联邦基金利率
存款准备金
波动率
federal funds rate, deposit reserve requirement, volatilityi
