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Working Paper
The liquidity effect in the federal funds market: evidence from daily open market operations
Demiralp, Selva; Carpenter, Seth B. (2004)
We use forecast errors made by the Federal Reserve while preparing open market operations to identify a liquidity effect at a daily frequency in the federal funds market. Unlike Hamilton (1997), we find a liquidity effect on many days of the reserve maintenance period besides settlement day. The effect is non-linear; large changes in supply have a measurable effect, but small changes do not. In addition, a higher aggregate level of reserve balances in the banking system is associated with a smaller liquidity effect during the maintenance period but a larger liquidity effect on the last days ...
Finance and Economics Discussion Series , Paper 2004-61

Journal Article
Discounting the discount rate
Pakko, Michael R. (2001-12)
Monetary Trends , Issue Dec

Journal Article
Expectations, open market operations, and changes in the federal funds rate (commentary)
Orphanides, Athanasios (2001-07)
Review , Volume 83 , Issue Jul , Pages 33-58

Journal Article
Federal Open Market Committee directive (June 25, 2003)
anonymous (2003-08)
Federal Reserve Bulletin , Issue Aug

Working Paper
Market-based measures of monetary policy expectations
Sack, Brian P.; Swanson, Eric T.; Gürkaynak, Refet S. (2006)
A number of recent papers have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around FOMC announcements to measure monetary policy shocks. This paper evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal ...
Working Paper Series , Paper 2006-04

Discussion Paper
Survey Measures of Expectations for the Policy Rate
Raskin, Matthew; Moench, Emanuel; Rosa, Carlo; Stowe, Lisa; Boyle, Jeremiah P.; Crump, Richard K. (2014-12-05)
Market prices provide timely information on policy expectations. But as we emphasized in our previous post, they can deviate from investors? expectations of the most likely path because they embed risk premiums and represent probability-weighted averages over different possible paths. In contrast, surveys explicitly ask respondents for their views on the likely path of economic variables. In this post, we highlight two surveys conducted by the Federal Reserve Bank of New York that provide information about expectations that can complement market-based measures.
Liberty Street Economics , Paper 20141205a

Journal Article
Record of policy actions of the Federal Open Market Committee
anonymous (1977-02)
Federal Reserve Bulletin , Issue Feb

Journal Article
A tale of two crises
Bullard, James B.; Pande, Geetanjali (2007-11)
Monetary Trends , Issue Nov

Working Paper
Do actions speak louder than words? the response of asset prices to monetary policy actions and statements
Sack, Brian P.; Swanson, Eric T.; Gürkaynak, Refet S. (2004)
We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday ...
Finance and Economics Discussion Series , Paper 2004-66

Working Paper
Federal funds rate prediction
Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio (2004)
We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future FF rate is forecast using the current difference between the FF rate and its target; (iii) combining the forecasts from various models generally yields modest improvements on the best performing model. These results have a ...
Working Papers , Paper 2002-005

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