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Optimal Money Market Behaviour and Sterling Interest Rates

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  • Schnadt, Norbert
  • Whittaker, John

Abstract

The determination of money market interest rates is studied in a model in which the magnitude, but not the timing, of a future change in the Bank of England's official lending rate is known. When the bank is expected to raise its official rate, short-term market rates may be less than the official rate as a result of the bank's willingness to lend at a range of maturities. This perverse behavior of interest rates can act against the bank's interests, and could be eliminated by a procedural change. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Schnadt, Norbert & Whittaker, John, 1995. "Optimal Money Market Behaviour and Sterling Interest Rates," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(4), pages 368-387, December.
    • Handle: RePEc:bla:manch2:v:63:y:1995:i:4:p:368-87
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    Cited by:

    1. Anne Vila Wetherilt, 2003. "Money market operations and volatility of UK money market rates," Bank of England working papers 174, Bank of England.
    2. Anne Vila Wetherilt, 2003. "Money market operations and short-term interest rate volatility in the United Kingdom," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 701-719.

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