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Working Paper
The mechanics of a graceful exit: interest on reserves and segmentation in the federal funds market
Bech, Morten L.; Klee, Elizabeth C.
(2010)
To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds rate began to deviate from the target rate set by the Federal Open Market Committee. In response, the Federal Reserve revised its operational framework for implementing monetary policy and began to pay interest on reserve balances in an attempt to provide a floor for the federal funds rate. Nevertheless, ...
Finance and Economics Discussion Series
, Paper 2010-07
Journal Article
Would banks buy daytime fed funds?
Simmons, Richard D.
(1987-05)
Economic Perspectives
, Volume 11
, Issue May
, Pages 36-43
Report
Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention
Bartolini, Leonardo; Prati, Alessandro; Bertola, Giuseppe
(2000)
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each "reserve maintenance period," when the opportunity cost of holding reserves is typically highest. We then propose and analyze a model of the federal funds market where uncertain liquidity flows and transaction costs induce banks to delay trading and to bid up interest rates at the end of each maintenance period. In this context, the central bank's ...
Staff Reports
, Paper 109
Report
Domestic open market operations during 1997
Tulpan, Ted; Hilton, R. Spence; Fisher, Peter R.; Cheng, Virginia
(1997)
Annual Report Domestic Open Market Operations
Working Paper
Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years
Judson, Ruth; Klee, Elizabeth C.
(2009)
Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the day of the maintenance period. In this paper, we examine the data over the recent period of increased Federal Reserve transparency and find that the liquidity effect stabilized across days of the maintenance period. Rather, the liquidity effect may be a function of the uncertainty about banks' end-of-day balances. Moreover, we find that increased transparency led to a larger liquidity effect on the ...
Finance and Economics Discussion Series
, Paper 2009-25
Working Paper
Identifying monetary policy with a model of the federal funds rate
Gilles, Christian; Labadie, Pamela; Coleman, Wilbur John
(1993)
With a stochastic general equilibrium model, we highlight the role of both monetary policy and banks in determining the relationship between the federal funds rate and bank reserves. Monetary policy consists of a stochastic upward-sloping supply schedule for reserves, along with a discount window and open-market operations that are consistent with this schedule. The demand schedule for reserves by banks is downward sloping in the federal runds rate, so shifts in the supply schedule lead to a negative relationship between total reserves and the federal funds rate (a liquidity effect). Shifts ...
Finance and Economics Discussion Series
, Paper 93-24
Journal Article
Are federal funds rate changes consistent with price stability? Results from an indicator model
Dueker, Michael J.; Fischer, Andreas M.
(1996-01)
Review
, Volume 78
, Issue Jan
, Pages 45-51
Journal Article
Interest rate smoothing and inflation, then and now
Huh, Chan Guk
(1995)
FRBSF Economic Letter
Working Paper
Does the Fed act gradually? a VAR analysis.
Sack, Brian P.
(1998)
The tendency for changes in the federal funds rate to be implemented gradually has been considered evidence of an interest-rate smoothing objective for the Federal Reserve. This paper investigates whether gradual movements in the federal funds rate can be explained by the dynamic structure of the economy and the uncertainty that the Fed faces regarding this structure, without recourse to including an ad-hoc interest rate smoothing argument in the objective function of the Fed. The analysis calculates the optimal funds rate policy given the structural form of the economy estimated in a VAR. In ...
Finance and Economics Discussion Series
, Paper 1998-17
Working Paper
The Fed funds futures rate as a predictor of Federal Reserve policy
Krueger, Joel; Kuttner, Kenneth N.
(1995)
Working Paper Series, Macroeconomic Issues
, Paper 95-4
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