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Report
Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate
Mariano, Roberto S.; Gong, Fangxiong (1997)
We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. ...
Staff Reports , Paper 23

Journal Article
On the pervasive effects of Federal Reserve settlement regulations
Winters, Drew B.; Cyree, Ken B.; Griffiths, Mark D. (2003-03)
To manage their reserve positions, depository institutions in the United States actively buy and sell deposits at the Federal Reserve Banks via the federal funds market. Beginning in 1991, the Eurodollar market also became an attractive venue for trading deposits at the Federal Reserve Banks. Prior to 1991, the Federal Reserve?s statutory reserve requirement on Eurocurrency liabilities of U.S. banking offices discouraged use of Eurocurrency liabilities as a vehicle for trading deposits at the Federal Reserve. This impediment was removed in December 1990. Beginning in January 1991, the ...
Review , Volume 85 , Issue Mar , Pages 27-46

Report
The topology of the federal funds market
Bech, Morten L.; Atalay, Enghin (2008)
The recent turmoil in global financial markets underscores the importance of the federal funds market as a means of distributing liquidity throughout the financial system and a tool for implementing monetary policy. In this paper, we explore the network topology of the federal funds market. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. In addition, reciprocity loans track the federal funds rate, and centrality measures are useful predictors of the interest rate of a loan.
Staff Reports , Paper 354

Journal Article
The borrowed-reserves operating procedures: theory and evidence
Thornton, Daniel L. (1988-01)
Review , Issue Jan , Pages 30-54

Journal Article
Interest rate shocks and the dollar
Evans, Charles L. (1994-09)
Economic Perspectives , Volume 18 , Issue Sep

Journal Article
Monetary policy and longer-term rates: an opportunity for greater transparency
Thornton, Daniel L. (2010)
The FOMC?s two-pronged approach involves a potential conflict: forward guidance assumes a high degree of substitutability across the maturity structure, while quantitative easing assumes a low degree.
Economic Synopses

Report
Monetary policy surprises and interest rates: evidence from the Fed funds futures markets
Kuttner, Kenneth N. (2000)
This paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Bond rates' response to anticipated changes is essentially zero, while their response to unanticipated movements is large and highly significant. Surprise policy actions have little effect on near-term expectations of future actions, which helps explain the failure of the expectations hypothesis on the short end of the yield curve.
Staff Reports , Paper 99

Report
Federal Reserve operating procedures and institutional change
Wenninger, John; Lee, William (1992)
Research Paper , Paper 9223

Report
The relationship between the federal funds rate and economic activity
Cohen, Gerald D.; Wenninger, John (1994)
Research Paper , Paper 9406

Working Paper
When did the FOMC begin targeting the federal funds rate? what the verbatim transcripts tell us
Thornton, Daniel L. (2005)
In October 1982 the FOMC deemphasized M1 and moved to what is commonly referred to as a borrowed reserves operating procedure. Sometime thereafter the FOMC switched to a funds rate targeting procedure but never formally announced the change. Given the close correspondence between a borrowed reserves operating procedure and a funds rate targeting procedure, Thornton (1988) suggested that the FOMC went immediately to a funds rate targeting procedure. Others date the switch to the funds rate procedure later. Meulendyke (1998) suggests the switch came in late 1987, while others suggest the change ...
Working Papers , Paper 2004-015

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