Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
The effect of money stock announcements on the federal funds rate hasbeen attributed informally to the information conveyed by the announcements about aggregate reserved emand. This "Aggregate Information Hypothesis" explains the effect without ref erence to Federal Reserve intervention in the funds market. In this paper, the a uthor provides a formal model of the Aggregate Information Hypothesis under lagged reserve accounting. The model relies on imperfect information in the funds ma rket 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 1980-83. Copyright 1987 by Ohio State University Press.
Volume (Year): 19 (1987)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879|
References listed on IDEAS
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.:
- 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..
- V. Vance Roley & Carl E. Walsh, 1983. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," NBER Working Papers 1181, National Bureau of Economic Research, Inc.
- James G. MacKinnon & Halbert White, 1983.
"Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties,"
537, Queen's University, Department of Economics.
- 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.
- 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.
- 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 for Research in Economics, Yale University.
- 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.
When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:19:y:1987:i:1:p:56-67. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.