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The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems

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  • V. Vance Roley

Abstract

The response of interest rates to money announcement surprises is examined both theoretically and empirically in this paper. In the theoretical models developed, not only changes in operating procedures, but also reserve requirement systems, are found to potentially affect the response. Moreover, under the current two-week contemporaneous reserve requirements (CRR) adopted in February 1984, the responses in the first and second weeks of the two-week reserve maintenance period may differ. The empirical results generally conform to the predictions of the theoretical models. The response of the Treasury bill yield to money announcement surprises changed significantly following changes in either operating procedures or reserve requirement systems in October 1979, October 1982, and February 1984.

Suggested Citation

  • V. Vance Roley, 1986. "The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems," NBER Working Papers 1812, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:1812
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    References listed on IDEAS

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    Cited by:

    1. Christophe Belhomme, 1992. "Prime de risque et effet ARCH," Revue Économique, Programme National Persée, vol. 43(1), pages 55-70.
    2. Robert H. Rasche, 1993. "Monetary aggregates, monetary policy and economic activity," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 1-35.
    3. KIM, Jae-Young & PARK, Woong Yong, 2018. "Some Empirical Evidence on Models of the Fisher Relation: Post-Data Comparison," Discussion paper series HIAS-E-68, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    4. Mishkin, Frederic S, 1990. "Can Futures Market Data Be Used to Understand the Behavior of Real Interest Rates?," Journal of Finance, American Finance Association, vol. 45(1), pages 245-257, March.

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