Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
AbstractThe effect of money stock announcements on the federal funds rate has been attributed informally to the information conveyed by the announcements about aggregate reserve demand. This "Aggregate Information Hypothesis" explains the effect without reference to Federal Reserve intervention in the funds market. In this paper I provide a formal model of the Aggregate Information Hypothesis under lagged reserve accounting. The model relies on imperfect information in the funds market, and on imperfect bank arbitrage of reserve demand between days of the week. Some stylized facts are presented about funds rate behavior in the period 1980-1983.
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Bibliographic InfoPaper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3220231.
Date of creation: 1987
Date of revision:
Publication status: Published in Journal of Money, Credit and Banking
Other versions of this item:
- Campbell, John Y, 1987. "Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 56-67, February.
- John Y. Campbell, 1987. "Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week," NBER Working Papers 1806, National Bureau of Economic Research, Inc.
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Cowles Foundation Discussion Papers
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- Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
- Cornell, Bradford, 1983. "Monetary policy and the daily behavior of interest rates," Journal of Economics and Business, Elsevier, vol. 35(2), pages 189-203, June.
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