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The Model Structure of Discount Window Borrowing

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  • Peristiani, Stavros

Abstract

This article investigates the specification of discount window borrowing. The author establishes empirically that the borrowing function is heteroskedastic and nonlinear. Subsequently, he proceeds to propose a simple theoretical framework that generates endogenously these anomalies. In particular, the author demonstrates that such phenomena are precipitated by the response of depository institutions to discount credit rationing and Federal Reserve collateral limitations. Copyright 1991 by Ohio State University Press.

Suggested Citation

  • Peristiani, Stavros, 1991. "The Model Structure of Discount Window Borrowing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(1), pages 13-34, February.
  • Handle: RePEc:mcb:jmoncb:v:23:y:1991:i:1:p:13-34
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    Cited by:

    1. Bernanke, Ben S. & Mihov, Ilian, 1998. "The liquidity effect and long-run neutrality," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 149-194, December.
    2. Thornton, Daniel L., 2001. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1717-1739, September.
    3. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
    4. Baum, Christopher F & Karasulu, Meral, 1998. "Modelling Federal Reserve Discount Policy," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 53-70, April.
    5. Michael Tindall & Roger Spencer, 2000. "Central bank reserve management: Aggregate targets and interest payments on reserves," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(2), pages 178-191, May.
    6. Daniel L. Thornton, 1996. "Identifying the liquidity effect: the case of nonborrowed reserves," Working Papers 1996-002, Federal Reserve Bank of St. Louis.
    7. Michael Tindall & Roger Spencer, 1997. "Borrowed reserves and deposit variation: The risks to monetary policy," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(3), pages 297-306, September.
    8. repec:kap:iaecre:v:6:y:2000:i:2:p:178-191 is not listed on IDEAS
    9. Dutkowsky, Donald H. & McCoskey, Suzanne K., 2001. "Near integration, bank reluctance, and discount window borrowing," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1013-1036, June.

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