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A computational model of banks' optimal reserve management policy

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  • Clouse, James A.
  • Dow, James Jr.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-45S90GW-1/2/2a29e8f2475b674b8790128bcf3370d5
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 26 (2002)
    Issue (Month): 11 (September)
    Pages: 1787-1814

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    Handle: RePEc:eee:dyncon:v:26:y:2002:i:11:p:1787-1814

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    1. Griffiths, Mark D. & Winters, Drew B., 1995. "Day-of-the-week effects in federal funds rates: Further empirical findings," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1265-1284, October.
    2. Clouse, James A. & Dow Jr., James P., 1999. "Fixed costs and the behavior of the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1015-1029, July.
    3. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
    4. William Poole, 1968. "Commercial Bank Reserve Management In A Stochastic Model: Implications For Monetary Policy," Journal of Finance, American Finance Association, vol. 23(5), pages 769-791, December.
    5. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832.
    6. Craig Furfine, 1998. "Interbank payments and the daily federal funds rate," Finance and Economics Discussion Series 1998-31, Board of Governors of the Federal Reserve System (U.S.).
    7. Kevin Clinton, 1997. "Implementation of Monetary Policy in a Regime with Zero Reserve Requirements," Working Papers 97-8, Bank of Canada.
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    Cited by:
    1. Leonardo Bartolini & Alessandro Prati, 2003. "The execution of monetary policy: a tale of two central banks," Economic Policy, CEPR & CES & MSH, vol. 18(37), pages 435-467, October.
    2. Daniel L. Thornton, 2006. "The daily liquidity effect," Working Papers 2006-020, Federal Reserve Bank of St. Louis.
    3. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
    4. Kempa, Michal, 2007. "What determines commercial banks’ demand for reserves in the interbank market," Research Discussion Papers 30/2007, Bank of Finland.
    5. Milton Marquis, 2002. "Setting the interest rate," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct11.
    6. Scott J. Dressler & Erasmus Kersting, 2013. "Excess Reserves and Economic Activity," Villanova School of Business Department of Economics and Statistics Working Paper Series 24, Villanova School of Business Department of Economics and Statistics.
    7. Suresh K. Nair & Richard G. Anderson, 2005. "A specialized inventory problem in banks: optimizing retail sweeps," Working Papers 2005-023, Federal Reserve Bank of St. Louis.
    8. Ringbom, Staffan & Shy, Oz & Stenbacka, Rune, 2004. "Optimal liquidity management and bail-out policy in the banking industry," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1319-1335, June.
    9. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
    10. Christiano Arrigoni Coelho & Julio Cesar Costa Pinto, 2004. "Modelagem Do Comportamento Ótimo Dos Bancos No Mercado De Reservas Brasileiro," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 032, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    11. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer, vol. 29(1), pages 61-82, February.
    12. Ruth Judson & Elizabeth Klee, 2009. "Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years," Finance and Economics Discussion Series 2009-25, Board of Governors of the Federal Reserve System (U.S.).
    13. Ruth Judson & Elizabeth Klee, 2009. "A study of U.S. monetary policy implementation: demand for reserves on a period average basis," Finance and Economics Discussion Series 2009-22, Board of Governors of the Federal Reserve System (U.S.).
    14. Todd Keister & Antoine Martin & James McAndrews, 2008. "Divorcing money from monetary policy," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 41-56.
    15. Thomas B. King, 2003. "Discipline and liquidity in the market for federal funds," Supervisory Policy Analysis Working Papers 2003-02, Federal Reserve Bank of St. Louis.
    16. Andrievskaya, Irina & Semenova , Maria, 2013. "Market discipline and the Russian interbank market," BOFIT Discussion Papers 29/2013, Bank of Finland, Institute for Economies in Transition.
    17. Geethanjali Selvaretnam, 2007. "Regulation of Reserves and Interest Rates in a Model of Bank Runs," CDMA Working Paper Series 200714, Centre for Dynamic Macroeconomic Analysis.
    18. Huberto M. Ennis & Todd Keister, 2008. "Understanding monetary policy implementation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 235-263.

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