Reserves Announcements and Interest Rates: Does Monetary Policy Matter?
1987; Wiley; Volume: 42; Issue: 2 Linguagem: Inglês
10.2307/2328259
ISSN1540-6261
Autores Tópico(s)Economic theories and models
ResumoThe Journal of FinanceVolume 42, Issue 2 p. 407-422 Article Reserves Announcements and Interest Rates: Does Monetary Policy Matter? GIKAS A. HARDOUVELIS, GIKAS A. HARDOUVELIS Department of Economics, Barnard College, Columbia University. The present version of the paper was presented at the World Congress of the Econometric Society in August 1985. Previous versions were presented at the meetings of the Eastern Economic Association, in April 1984, and at seminars at NYU, Columbia, and the Center of Planning and Economic Research in Athens, Greece. I have received useful comments on past versions from Steve Cecchetti, Bradford Cornell, Duncan Foley, Keith Johnson, Bruce Lehmann, Jan Loeys, Frederic Mishkin, Paul Wachtel, Carl Walsh, and especially, an anonymous associate editor of this Journal, the referee. I particularly wish to thank Mr. Charles Buchwalter of Data Resources Incorporated for access to the DRI data banks and Ms. Kim Rupert of Money Market Services Incorporated for survey data. Partial support for this research was also provided by a minigrant from Barnard College.Search for more papers by this author GIKAS A. HARDOUVELIS, GIKAS A. HARDOUVELIS Department of Economics, Barnard College, Columbia University. The present version of the paper was presented at the World Congress of the Econometric Society in August 1985. Previous versions were presented at the meetings of the Eastern Economic Association, in April 1984, and at seminars at NYU, Columbia, and the Center of Planning and Economic Research in Athens, Greece. I have received useful comments on past versions from Steve Cecchetti, Bradford Cornell, Duncan Foley, Keith Johnson, Bruce Lehmann, Jan Loeys, Frederic Mishkin, Paul Wachtel, Carl Walsh, and especially, an anonymous associate editor of this Journal, the referee. I particularly wish to thank Mr. Charles Buchwalter of Data Resources Incorporated for access to the DRI data banks and Ms. Kim Rupert of Money Market Services Incorporated for survey data. Partial support for this research was also provided by a minigrant from Barnard College.Search for more papers by this author First published: June 1987 https://doi.org/10.1111/j.1540-6261.1987.tb02574.xCitations: 12 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat ABSTRACT The author provides evidence on the perceived existence of strong liquidity effect. The analysis is based on the response of the term structure of interest rates to the weekly Federal Reserve announcements of bank reserves during the post-October 1979 period. It is shown that unanticipated changes in the mix between borrowed and nonborrowed reserves cause expected real interest rates to change after the announcement because they provide information about a future change in the supply of money. A precise model is developed and tested during subperiods of nonborrowed and borrowed reserves targeting by the Fed. Citing Literature Volume42, Issue2June 1987Pages 407-422 RelatedInformation
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