The daily and policy-relevant liquidity effects
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Thornton, Daniel L., 2008. "The daily and policy-relevant liquidity effects," Working Paper Series 984, European Central Bank.
References listed on IDEAS
- William E. Gibson, 1970. "The Lag in the Effect of Monetary Policy on Income and Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(2), pages 288-300.
- Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996.
"The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the flow of funds," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Thornton, Daniel L., 2005.
"Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate,"
Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2541-2556, October.
- Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the anomalies when the short-term rate is the federal funds rate," Working Papers 2000-003, Federal Reserve Bank of St. Louis.
- Hamilton, James D, 1997.
"Measuring the Liquidity Effect,"
American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March.
- James D. Hamilton, 1996. "Measuring the liquidity effect," Working Papers in Applied Economic Theory 96-06, Federal Reserve Bank of San Francisco.
- 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.
- Ben S. Bernanke & Ilian Mihov, 1998. "The Liquidity Effect and Long-Run Neutrality," NBER Working Papers 6608, National Bureau of Economic Research, Inc.
- Daniel L. Thornton, 2001. "Identifying the liquidity effect at the daily frequency," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 59-82.
- Daniel L. Thornton, 2004.
"Forecasting the Treasury's balance at the Fed,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 357-371.
- Daniel L. Thornton, 2003. "Forecasting the Treasury's balance at the Fed," Working Papers 2001-004, Federal Reserve Bank of St. Louis.
- Ben S. Bernanke & Ilian Mihov, 1998.
"Measuring Monetary Policy,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(3), pages 869-902.
- Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies.
- Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Ilian Mihov, 1995. "Measuring monetary policy," Working Papers in Applied Economic Theory 95-09, Federal Reserve Bank of San Francisco.
- Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-247, May.
- Adrian R. Pagan & John C. Robertson, 1995.
"Resolving the liquidity effect,"
Proceedings, Federal Reserve Bank of St. Louis, issue May, pages 33-54.
- Adrian R. Pagan & John C. Robertson, 1995. "Resolving the liquidity effect," Review, Federal Reserve Bank of St. Louis, issue May, pages 33-54.
- Pagan, A.R. & Robertson, J.C., 1994. "Resolving the Liquidity Effect," Papers 277, Australian National University - Department of Economics.
- Carpenter, Seth & Demiralp, Selva, 2006.
"The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 901-920, June.
- Seth B. Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.).
- Christian Gilles & Pamela A. Labadie & Wilbur John Coleman II., 1996.
"A model of the federal funds market,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(2), pages 337-357.
- Coleman, Wilbur John, II & Gilles, Christian & Labadie, Pamela A, 1996. "A Model of the Federal Funds Market," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(2), pages 337-357, February.
- Gibson, William E, 1970. "Interest Rates and Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 431-455, May-June.
- Thomas M. Humphrey, 1983. "The early history of the real/nominal interest rate relationship," Economic Review, Federal Reserve Bank of Richmond, vol. 69(May), pages 2-10.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
"Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 137-159, February.
- Mr. Alessandro Prati & Mr. Giuseppe Bertola & Mr. Leonardo Bartolini, 2000. "Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate," IMF Working Papers 2000/206, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Day-to-day monetary policy and the volatility of the federal funds interest rate," Staff Reports 110, Federal Reserve Bank of New York.
- Evans, Charles L. & Marshall, David A., 1998.
"Monetary policy and the term structure of nominal interest rates: Evidence and theory,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 53-111, December.
- Charles L. Evans & David A. Marshall, 1997. "Monetary policy and the term structure of nominal interest rates: evidence and theory," Working Paper Series, Macroeconomic Issues WP-97-10, Federal Reserve Bank of Chicago.
- Cagan, Phillip & Gandolfi, Arthur, 1969. "The Lag in Monetary Policy as Implied by the Time Pattern of Monetary Effects on Interest Rates," American Economic Review, American Economic Association, vol. 59(2), pages 277-284, May.
- James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
- Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 463-497, June.
- Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Thornton, Daniel L., 2014.
"Monetary policy: Why money matters (and interest rates don’t),"
Journal of Macroeconomics, Elsevier, vol. 40(C), pages 202-213.
- Daniel L. Thornton, 2008. "Monetary policy: why money matters and interest rates don't," Working Papers 2008-011, Federal Reserve Bank of St. Louis.
- Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
- Abbassi, Puriya & Nautz, Dieter, 2012.
"Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations,"
The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 54-69.
- Abbassi, Puriya & Nautz, Dieter, 2011. "Monetary transmission right from the start: On the information content of the eurosystem's main refinancing operations," Discussion Paper Series 1: Economic Studies 2011,24, Deutsche Bundesbank.
- Signe Krogstrup & Dr. Samuel Reynard & Barbara Sutter, 2012. "Liquidity Effects of Quantitative Easing on Long-Term Interest Rates," Working Papers 2012-02, Swiss National Bank.
- Morgunov, V.I. (Моргунов, В.И.), 2016. "The Liquidity Management of the Banking Sector and the Short-Term Money Market Interest Rates [Управление Ликвидностью Банковского Сектора И Краткосрочной Процентной Ставкой Денежного Рынка]," Working Papers 21311, Russian Presidential Academy of National Economy and Public Administration.
- Mr. Jerome Vandenbussche & Mr. Stanley B Watt & Szabolcs Blazsek, 2009. "The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan," IMF Working Papers 2009/228, International Monetary Fund.
- J�rôme Vandenbussche & Szabolcs Blazsek & Stanley Watt, 2012. "The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 231-242, February.
- Olav Syrstad, 2012. "The daily liquidity effect in a floor system – Empirical evidence from the Norwegian market," Working Paper 2012/14, Norges Bank.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis.
- Daniel L. Thornton, 2010. "The relationship between the daily and policy-relevant liquidity effects," Review, Federal Reserve Bank of St. Louis, vol. 92(Jan), pages 73-88.
- Friedman, Benjamin M. & Kuttner, Kenneth N., 2010.
"Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?,"
Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 24, pages 1345-1438,
Elsevier.
- Benjamin M. Friedman & Kenneth N. Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," NBER Working Papers 16165, National Bureau of Economic Research, Inc.
- Benjamin Friedman & Kenneth Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Department of Economics Working Papers 2010-03, Department of Economics, Williams College.
- Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
- Carpenter, Seth & Demiralp, Selva, 2006.
"The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 901-920, June.
- Seth B. Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.).
- Benjamin Kim & Noor Ghazali, 1998. "The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some International Evidence," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 49-63.
- Lucio Sarno & Daniel L. Thornton & Yi Wen, 2007.
"What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 293-319, April.
- Lucio Sarno & Daniel L. Thornton & Yi Wen, 2002. "What's unique about the federal funds rate? evidence from a spectral perspective," Working Papers 2002-029, Federal Reserve Bank of St. Louis.
- Daniel L. Thornton, 2006. "The daily liquidity effect," Working Papers 2006-020, Federal Reserve Bank of St. Louis.
- Daniel L. Thornton, 1996. "Identifying the liquidity effect: the case of nonborrowed reserves," Working Papers 1996-002, Federal Reserve Bank of St. Louis.
- Judson, Ruth A. & Klee, Elizabeth, 2010.
"Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years,"
Journal of Macroeconomics, Elsevier, vol. 32(3), pages 713-731, September.
- Ruth A. Judson & Elizabeth C. Klee, 2009. "Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years," Finance and Economics Discussion Series 2009-25, Board of Governors of the Federal Reserve System (U.S.).
- Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 61-82, February.
- Seth Carpenter & Selva Demiralp, 2008.
"The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 1-24, February.
- Seth Carpenter & Selva Demiralp, 2008. "The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 1-24, February.
- Selva Demiralp & Oscar Jorda, "undated".
"The Pavlovian Response of Term Rates to Fed Announcements,"
Department of Economics
99-06, California Davis - Department of Economics.
- Selva Demiralp & Òscar Jordà, 2001. "The Pavlovian response of term rates to Fed announcements," Finance and Economics Discussion Series 2001-10, Board of Governors of the Federal Reserve System (U.S.).
- Oscar Jorda & Selva Demiralp, 2003. "The Pavlovian Response of Term Rates to Fed Announcements," Working Papers 192, University of California, Davis, Department of Economics.
- Thornton, Daniel L., 2014.
"Monetary policy: Why money matters (and interest rates don’t),"
Journal of Macroeconomics, Elsevier, vol. 40(C), pages 202-213.
- Daniel L. Thornton, 2008. "Monetary policy: why money matters and interest rates don't," Working Papers 2008-011, Federal Reserve Bank of St. Louis.
- Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
- Hanes, Christopher, 2019. "Explaining the appearance of open-mouth operations in the 1990s U.S," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 682-701.
- Smith, A. Lee & Valcarcel, Victor J., 2023.
"The financial market effects of unwinding the Federal Reserve’s balance sheet,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Andrew Lee Smith & Victor J. Valcarcel, 2021. "The Financial Market Effects of Unwinding the Federal Reserve’s Balance Sheet," Research Working Paper RWP 20-23, Federal Reserve Bank of Kansas City.
- Normandin, Michel & Phaneuf, Louis, 2004.
"Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility,"
Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1217-1243, September.
- Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 0337, CIRPEE.
- Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 03-04, HEC Montréal, Institut d'économie appliquée.
- Daniel L. Thornton, 2000.
"The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?,"
Working Papers
1999-022, Federal Reserve Bank of St. Louis.
- Thornton, Daniel L., 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Discussion Paper Series 1: Economic Studies 2000,09, Deutsche Bundesbank.
- Marius Jurgilas, 2006. "Interbank Markets under Currency Boards," Working papers 2006-19, University of Connecticut, Department of Economics.
- Vargas-Silva, Carlos, 2008.
"Monetary policy and the US housing market: A VAR analysis imposing sign restrictions,"
Journal of Macroeconomics, Elsevier, vol. 30(3), pages 977-990, September.
- Carlos Vargas-Silva, 2007. "Monetary policy and the U.S. housing market: A VAR analysis imposing sign restrictions," Working Papers 0705, Sam Houston State University, Department of Economics and International Business.
More about this item
Keywords
Liquidity (Economics); Monetary policy;JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2007-06-23 (Central Banking)
- NEP-MAC-2007-06-23 (Macroeconomics)
- NEP-MON-2007-06-23 (Monetary Economics)
Statistics
Access and download statisticsCorrections
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:fedlwp:2007-001. See general information about how to correct material in RePEc.
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anna Oates (email available below). General contact details of provider: https://edirc.repec.org/data/frbslus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.