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A Model of the Federal Funds Market

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Author Info
Coleman, Wilbur John, II
Gilles, Christian
Labadie, Pamela A

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Abstract

This paper develops a stochastic general equilibrium model of the federal funds market that incorporates non-Fisherian effects on interest rates stemming from both supply and demand shocks to reserves. Such a model may reconcile the widespread belief in a liquidity effect of money supply shocks with the difficulty many researchers have had in finding empirical support for such an effect. The model also cautions against interpreting the observed negative correlation between the federal funds rate and innovations to nonborrowed reserves as empirical confirmation of the ability of the Federal Reserve to lower short-term real interest rates.

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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 7 (1996)
Issue (Month): 2 (February)
Pages: 337-57
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Handle: RePEc:spr:joecth:v:7:y:1996:i:2:p:337-57

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  1. James Woods, 2003. ""Money" is the Reserves not the Money," Macroeconomics 0309019, EconWPA, revised 28 Dec 2003. [Downloadable!]
  2. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  3. Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Day-to-day monetary policy and the volatility of the federal funds interest rate," Staff Reports 110, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  4. Charles T. Carlstrom & Timothy S. Fuerst, 2001. "Monetary policy and self-fulfilling expectations: the danger of forecasts," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 9-19. [Downloadable!]
  5. Martin Menner & Hugo Rodriguez Mendizabal, 2005. "On the Identification of Monetary (and Other) Shocks," UFAE and IAE Working Papers 650.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    Other versions:
  6. David Altig & Charles T. Carlstrom & Kevin J. Lansing, 1995. "Computable general-equilibrium models and monetary policy advice," Working Paper 9503, Federal Reserve Bank of Cleveland. [Downloadable!]
    Other versions:
  7. Paolo Angelini, 2002. "Liquidity and Announcement Effects in the Euro Area," Temi di discussione (Economic working papers) 451, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  8. Chan Huh, 1996. "Regime switching in the dynamic relationship between the federal funds rate and innovations in nonborrowed reserves," International Finance Discussion Papers 536, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Lawrence J. Christiano, 1996. "Identification and the liquidity effect: a case study," Economic Perspectives, Federal Reserve Bank of Chicago, issue May, pages 2-13. [Downloadable!]
  10. Richard G. Anderson & Robert H. Rasche, 2000. "The domestic adjusted monetary base," Working Papers 2000-002, Federal Reserve Bank of St. Louis. [Downloadable!]
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