Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
Citation
Campbell, John Y. 1987. Money announcements, the demand for bank reserves, and the behavior of the federal funds rate within the statement week. Journal of Money, Credit and Banking 19, no. 1: 56-67.Abstract
The effect of money stock announcements on the federal funds rate has been attributed informally to the information conveyed by the announcements about aggregate reserve demand. This "Aggregate InformationHypothesis" explains the effect without reference to Federal Reserve intervention in the funds market. In this paper I provide a formal model of the Aggregate Information Hypothesis under lagged reserve accounting.
The model relies on imperfect information in the funds market, and on imperfect bank arbitrage of reserve demand between days of the week. Some stylized facts are presented about funds rate behavior in the period 1980-1983.
Terms of Use
This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAACitable link to this page
http://nrs.harvard.edu/urn-3:HUL.InstRepos:3220231
Collections
- FAS Scholarly Articles [18292]
Contact administrator regarding this item (to report mistakes or request changes)