The Experts below are selected from a list of 294 Experts worldwide ranked by ideXlab platform
Roger D. Huang - One of the best experts on this subject based on the ideXlab platform.
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the impact of the federal reserve bank s Open Market Operations
Journal of Financial Markets, 2002Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:Abstract The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as “Fed Time”. Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants’ expectations.
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The impact of the Federal Reserve Bank's Open Market Operations ☆
Journal of Financial Markets, 2002Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:Abstract The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as “Fed Time”. Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants’ expectations.
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The Impact of the Federal Reserve Bank's Open Market Operations
SSRN Electronic Journal, 2001Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as "Fed Time." Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants' expectations. A revised version of this paper was published in the Journal of Financial Markets in 2002.
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The Impact of the Federal Reserve Bank's Open Market Operations
National Bureau of Economic Research, 1994Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as `Fed Time'. Using previously unavailable data on Open Market Operations, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time. Surprisingly, the Fed Time volatility is higher on days when Open Market Operations are absent. In addition, little systematic differences in Market impact are observed for reserve-draining versus reserve-adding Operations. These results suggest that the financial Markets correctly anticipate the purpose of Open Market Operations but are unable to forecast the timing of the Operations.
Campbell R. Harvey - One of the best experts on this subject based on the ideXlab platform.
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the impact of the federal reserve bank s Open Market Operations
Journal of Financial Markets, 2002Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:Abstract The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as “Fed Time”. Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants’ expectations.
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The impact of the Federal Reserve Bank's Open Market Operations ☆
Journal of Financial Markets, 2002Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:Abstract The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as “Fed Time”. Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants’ expectations.
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The Impact of the Federal Reserve Bank's Open Market Operations
SSRN Electronic Journal, 2001Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as "Fed Time." Using previously unavailable data on Open Market Operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with Market expectations of Fed intervention during this time interval. We find that there is little systematic difference in Market impact between reserve-draining and reserve-adding Operations. Additionally, Fed Time volatility is, on average, higher on days when Open Market Operations are absent. These results suggest that the Markets are potentially confused about the purpose of the Open Market Operations during our sample period. The evidence is also consistent with the Fed Operations conveying information which smooths Market participants' expectations. A revised version of this paper was published in the Journal of Financial Markets in 2002.
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The Impact of the Federal Reserve Bank's Open Market Operations
National Bureau of Economic Research, 1994Co-Authors: Campbell R. Harvey, Roger D. HuangAbstract:The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of Market participants through their Open Market Operations. These Operations may amount to 20% of the day's volume and are concentrated during the half hour known as `Fed Time'. Using previously unavailable data on Open Market Operations, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time. Surprisingly, the Fed Time volatility is higher on days when Open Market Operations are absent. In addition, little systematic differences in Market impact are observed for reserve-draining versus reserve-adding Operations. These results suggest that the financial Markets correctly anticipate the purpose of Open Market Operations but are unable to forecast the timing of the Operations.
Andreas Schabert - One of the best experts on this subject based on the ideXlab platform.
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On the relevance of Open Market Operations for the short-run effects of monetary policy
2004Co-Authors: Andreas SchabertAbstract:This paper reexamines the role of Open Market Operations for monetary transmission and equilibrium determinacy. Money demand is due to a cash constraint, while the central bank supplies money exclusively via repurchase agreements. Though, the duration of holding money is ...nite, settlement of repurchase agreements avoids the Hahn-paradox. We consider a legal restriction for Open Market Operations by which only government bonds are accepted in exchange for money. In this case, agents care about Open Market Operations when private debt earns a higher interest than government bonds. The model is then it able to generate liquidity e¤ects of monetary injections regardless whether prices are ‡exible or set in a staggered way. Money is neutral in the former case, whereas a monetary injection leads to a real and a nominal expansion in the latter case. A nominal interest rate peg is associated with a uniquely determined price level for ‡exible prices and equilibrium determinacy for sticky prices, and is equivalent to a constant money growth policy. JEL classi...cation: E52, E32.
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Interactions of Monetary and Fiscal Policy via Open Market Operations
The Economic Journal, 2004Co-Authors: Andreas SchabertAbstract:We examine interactions of monetary and fiscal policy in a sticky price model where public debt is non-neutral, as it provides transaction services. This property is brought about by a legal restriction on Open Market Operations by which only government bonds are eligible. Debt creation eases access to money and can therefore induce households to increase purchases of goods. Government expenditures, which are not completely tax financed, and deficit financed tax cuts then tend to stimulate private consumption. However, for these fiscal impulses to raise real activity monetary policy should not too aggressively aim at stabilising the economy
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On the Relevance of Open Market Operations
SSRN Electronic Journal, 2004Co-Authors: Andreas SchabertAbstract:This paper reexamines the role of Open Market Operations for short-run effects of monetary policy. Money demand is induced by a cash constraint, while the central bank supplies money exclusively in exchange for securities, discounted with a short-run nominal interest rate. We consider a legal restriction for Open Market Operations by which only government bonds are eligible, whereas private debt is not accepted as collateral for money. Supply of eligible securities is bounded by assuming fiscal policy to ensure government solvency. The model provides an endogenous liquidity premium on noneligible assets and liquidity effects of money supply shocks regardless whether prices are flexible or set in a staggered way. Nominal interest rate policy is always associated with a uniquely determined price level and rational expectations equilibrium. It is further shown that an intuitive equivalence principle between money supply and interest rates arises in this case.
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On the Relevance of Open Market Operations
2004Co-Authors: Andreas SchabertAbstract:This paper reexamines the role of Open Market Operations for short-run effects of monetary policy in a New Keynesian framework. The central bank supplies money in exchange for securities that are discounted with the short-run nominal interest rate, while money demand is induced by a liquidity constraint. We allow for a legal restriction by which only government bonds are eligible. Their supply is bounded by fiscal policy that is assumed to be Ricardian. If public debt is dominated in rate of return by private debt, Open Market Operations matter, and an endogenous liquidity premium and a liquidity effect arise. Nominal interest rate setting (including a peg) is then associated with price level and equilibrium uniqueness, regardless whether prices are flexible or set in a staggered way. Thus, the legal restriction overcomes indeterminacies due to an unbounded money supply, as implied by the real bills doctrine. Moreover, it facilitates constant money growth and interest rate policy to be equivalent
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identifying monetary policy shocks with changes in Open Market Operations
2003Co-Authors: Andreas SchabertAbstract:In this paper we reexamine the e¤ects of monetary policy shocks by exploiting the information contained in Open Market Operations. A sticky price model is developed where money is the counterpart of securities deposited at the central bank. The model’s solution reveals that a rise in central bank holdings of Open Market securities can be interpreted as a monetary expansion. Estimates of vector autoregressions for US data are further provided showing that reactions to an unanticipated rise in Open Market securities are consistent with common priors about a mon-etary expansion, i.e., a decline in the federal funds rate, a rise in output, and inertia in price responses. Compared to federal funds rate shocks, prices do not exhibit a puzzling behavior and a larger fraction of the GDP forecast error variance can be attributed to Open Market shocks. However, the explanatory power of the latter has decreased since federal funds rate targets have been announced.
Selva Demiralp - One of the best experts on this subject based on the ideXlab platform.
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Anticipation of Monetary Policy and Open Market Operations
International Journal of Central Banking, 2006Co-Authors: Seth B. Carpenter, Selva DemiralpAbstract:Central banking transparency is now a topic of great interest, but its impact on the implementation of monetary policy has not been studied. This paper documents that anticipated changes in the target federal funds rate complicate Open Market Operations. We provide theoretical and empirical evidence on the behavior of banks and the Open Market Trading Desk. We find a significant shift in demand for funds ahead of expected target rate changes and that the Desk only incompletely accommodates this shift in demand. This anticipation effect, however, does not materially affect other Markets.
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declining required reserves funds rate volatility and Open Market Operations
Journal of Banking and Finance, 2005Co-Authors: Selva Demiralp, Dennis FarleyAbstract:Abstract The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase in federal funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
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Declining required reserves, funds rate volatility, and Open Market Operations ☆
Journal of Banking & Finance, 2005Co-Authors: Selva Demiralp, Dennis FarleyAbstract:Abstract The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase in federal funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
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The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations
SSRN Electronic Journal, 2004Co-Authors: Seth B. Carpenter, Selva DemiralpAbstract: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. We find a liquidity effect on most days of the reserve maintenance period in addition to settlement day. The effect is nonlinear; large changes in supply more consistently have a measurable effect than do small changes. 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 of the period.
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The liquidity effect in the federal funds Market: evidence from daily Open Market Operations
Finance and Economics Discussion Series, 2004Co-Authors: Seth B. Carpenter, Selva DemiralpAbstract: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 of the period.
Dennis Farley - One of the best experts on this subject based on the ideXlab platform.
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declining required reserves funds rate volatility and Open Market Operations
Journal of Banking and Finance, 2005Co-Authors: Selva Demiralp, Dennis FarleyAbstract:Abstract The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase in federal funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
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Declining required reserves, funds rate volatility, and Open Market Operations ☆
Journal of Banking & Finance, 2005Co-Authors: Selva Demiralp, Dennis FarleyAbstract:Abstract The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase in federal funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
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Declining Required Reserves, Funds Rate Volatility, and Open Market Operations
Finance and Economics Discussion Series, 2003Co-Authors: Selva Demiralp, Dennis FarleyAbstract:The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling the reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the U.S. accompanied at first by an increase in the funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of a structural break in volatility. We then estimate a tobit model of the major types of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
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Declining Required Reserves, Funds Rate Volatility, and Open Market Operations
SSRN Electronic Journal, 2003Co-Authors: Selva Demiralp, Dennis FarleyAbstract:The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in level of reserve balances in the U.S. accompanied at first by an increase in the funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of a structural break in volatility. We then estimate a tobit model of the major types of temporary Open Market Operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility.
