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Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week

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John Y. Campbell

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Abstract

The 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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1806.

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Date of creation: May 1987
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Handle: RePEc:nbr:nberwo:1806

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Roley, V Vance & Walsh, Carl E, 1985. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," The Quarterly Journal of Economics, MIT Press, vol. 100(5), pages 1011-39, Supp.. [Downloadable!] (restricted)
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  2. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation, Yale University. [Downloadable!]
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  3. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September. [Downloadable!] (restricted)
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  4. 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. [Downloadable!] (restricted)
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