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Near integration, bank reluctance, and discount window borrowing

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  • Dutkowsky, Donald H.
  • McCoskey, Suzanne K.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 6 (June)
Pages: 1013-1036

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Handle: RePEc:eee:jbfina:v:25:y:2001:i:6:p:1013-1036

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References

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  1. Cheng Hsiao, 1997. "Cointegration and Dynamic Simultaneous Equations Model," Econometrica, Econometric Society, vol. 65(3), pages 647-670, May.
  2. Perron, Pierre & Ng, Serena, 1996. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Review of Economic Studies, Wiley Blackwell, vol. 63(3), pages 435-63, July.
  3. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  4. Goodfriend, Marvin, 1983. "Discount window borrowing, monetary policy, and the post-October 6, 1979 federal reserve operating procedure," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 343-356, September.
  5. Peter C.B. Phillips, 1986. "Regression Theory for Near-Integrated Time Series," Cowles Foundation Discussion Papers 781R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1987.
  6. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
  7. Stavros Peristiani, 1991. "An empirical investigation of the determinants of discount window borrowing: a disaggregate analysis," Research Paper 9114, Federal Reserve Bank of New York.
  8. Dutkowsky, Donald H, 1984. " The Demand for Borrowed Reserves: A Switching Regression Model," Journal of Finance, American Finance Association, vol. 39(2), pages 407-24, June.
  9. Lawrence J. Christiano & Martin Eichenbaum, 1992. "Liquidity effects, monetary policy and the business cycle," Working Paper Series, Macroeconomic Issues 92-15, Federal Reserve Bank of Chicago.
  10. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  11. Dutkowsky, Donald H. & Foote, William G., 1988. "Forecasting discount window borrowing," International Journal of Forecasting, Elsevier, vol. 4(4), pages 593-603.
  12. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The effects of monetary policy shocks: evidence from the flow of funds," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
  13. Michael Tindall & Roger Spencer, 1997. "Borrowed reserves and deposit variation: The risks to monetary policy," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(3), pages 297-306, September.
  14. Cosimano, Thomas F & Sheehan, Richard G, 1994. "Is the Conventional View of Discount Window Borrowing Consistent with the Behavior of Weekly Reporting Banks?," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 761-70, November.
  15. Stephen M. Goldfeld & Edward J. Kane, 1966. "The Determinants Of Member‐Bank Borrowing: An Econometric Study," Journal of Finance, American Finance Association, vol. 21(3), pages 499-514, 09.
  16. Dutkowsky, Donald & Foote, William, 1985. "Switching, Aggregation, and the Demand for Borrowed Reserves," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 331-35, May.
  17. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
  18. Christian Gilles & Pamela A. Labadie & Wilbur John Coleman II., 1996. "A model of the federal funds market," Economic Theory, Springer, vol. 7(2), pages 337-357.
  19. James A. Clouse, 1994. "Recent developments in discount window policy," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Nov, pages 965-977.
  20. Shaffer, Sherrill, 1998. "Capital Requirements and Rational Discount-Window Borrowing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(4), pages 849-63, November.
  21. Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 463-497, June.
  22. Dutkowsky, Donald H., 1993. "Dynamic implicit cost and Discount Window borrowing : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 105-120, August.
  23. Mitchell, Karlyn & Pearce, Douglas K., 1992. "Discount window borrowing across federal reserve districts: Evidence under contemporaneous reserve accounting," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 771-790, August.
  24. Stavros Peristiani, 1998. "The Growing Reluctance To Borrow At The Discount Window: An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 611-620, November.
  25. Pearce, Douglas K, 1993. "Discount Window Borrowing and Federal Reserve Operating Regimes," Economic Inquiry, Western Economic Association International, vol. 31(4), pages 564-79, October.
  26. Peristiani, Stavros, 1991. "The Model Structure of Discount Window Borrowing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(1), pages 13-34, February.
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Cited by:
  1. Lima, Luiz Renato & Xiao, Zhijie, 2007. "Do shocks last forever? Local persistency in economic time series," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 103-122, March.

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