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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
Federal Open Market Committee directive (November 6, 2002)
anonymous
(2002-12)
Federal Reserve Bulletin
, Issue Dec
Journal Article
Bond Premiums and the Natural Real Rate of Interest
Smith, Andrew Lee; Hakkio, Craig S.
(2017-01)
Economic Review
, Issue Q I
, Pages 5-39
Journal Article
Federal Open Market Committee directive
anonymous
(2002-10)
Federal Reserve Bulletin
, Issue Oct
, Pages 438
Journal Article
A neutral federal funds rate?
Buol, Jason J.; Rasche, Robert H.; Anderson, Richard G.
(2004-12)
Monetary Trends
, Issue Dec
Journal Article
Transparency in the practice of monetary policy
Broaddus, Alfred
(2001-07)
Economic Quarterly
, Issue Sum
, Pages 1-9
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
Journal Article
Paying interest on deposits at Federal Reserve banks
Anderson, Richard G.
(2008)
Paying interest on reserves should allow us to better control the federal funds rate.
Economic Synopses
Journal Article
Commentary on \\"Assessing monetary policy effects using daily federal funds futures contracts\\"
Chrystal, K. Alec
(2008-07)
Review
, Volume 90
, Issue Jul
, Pages 395-398
Journal Article
Record of policy actions of the Federal Open Market Committee
anonymous
(1977-02)
Federal Reserve Bulletin
, Issue Feb
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anonymous 42 items
Thornton, Daniel L. 21 items
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Rasche, Robert H. 5 items
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Swanson, Eric T. 5 items
Dueker, Michael J. 4 items
Demiralp, Selva 3 items
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