IDEAS home Printed from https://ideas.repec.org/p/fip/fedcwp/8406.html
   My bibliography  Save this paper

Monetary policy and real interest rates: new evidence from the money stock announcements

Author

Listed:
  • William T. Gavin
  • Nicholas V. Karamouzis

Abstract

This paper presents new evidence on how asset prices respond to new information about the money stock. It shows that the information content of money stock announcements and the response of asset prices to new information in the announcements vary with changes in the monetary policy regime, the Federal Reserve operating procedures, and the reserve accounting rules. While previous studies have examined how asset prices respond to the money stock announcements under the interest-rate targeting procedure and the nonborrowed reserve procedure, we have included new evidence from the borrowed reserve targeting procedure under both lagged and contemporaneous reserve accounting rules. Looking at how both forward exchange rates and other asset prices respond to the announcements, we distinguish between periods when the asset-price response reflected a change in the real interest rate and those when it reflected a change in the inflation premium. Finally, we show that the new contemporaneous reserve accounting rules have greatly reduced the information content of the money stock announcements.

Suggested Citation

  • William T. Gavin & Nicholas V. Karamouzis, 1984. "Monetary policy and real interest rates: new evidence from the money stock announcements," Working Paper 8406, Federal Reserve Bank of Cleveland.
  • Handle: RePEc:fip:fedcwp:8406
    as

    Download full text from publisher

    File URL: https://fraser.stlouisfed.org/scribd/?item_id=494452&filepath=/docs/historical/frbclev/wp/frbclv_wp1984-06.pdf#scribd-open
    File Function: Full text
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Richard G. Sheehan & R. W. Hafer, 1987. "On the response of interest rates to unexpected weekly money: are policy changes important?," Working Papers 1987-005, Federal Reserve Bank of St. Louis.
    2. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
    3. V. Vance Roley, 1986. "U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations," NBER Working Papers 1858, National Bureau of Economic Research, Inc.
    4. Michael T. Belongia & Richard G. Sheehan, 1985. "The efficient markets hypothesis and weekly money: some contrary evidence," Working Papers 1985-004, Federal Reserve Bank of St. Louis.
    5. Timothy Q. Cook & Thomas K. Hahn, 1988. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Working Paper 88-04, Federal Reserve Bank of Richmond.
    6. Andreas Fischer, 1989. "Interpreting the Term Structure of Interest Rates Using Weekly Money Announcements," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(I), pages 43-53, March.

    More about this item

    Keywords

    Monetary policy ; Money supply ; Bank reserves;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedcwp:8406. 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: (4D Library). General contact details of provider: http://edirc.repec.org/data/frbclus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.