The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems
Year: 1986
Type: report
Abstract: ABSThCThe response of interest rates to money announcement surprises is examined both theoretically and empirically in this paper.In the theoretical models developed, not only changes in operating procedures, but also reserve requirement systems, are found to potentially affect the response.Moreover, under the current two-week contemporaneous reserve requirements (CRR) adopted in February 1984, the responses in the first and second weeks of the two-week reserve maintenance period may differ.The empirical results generally conform to the predictions of the theoretical models.The response of the Treasury bill yield to money announcement surprises changed significantly following changes in either operating procedures or reserve requirement systems in
DOI: 10.3386/w1812
Author: V. Vance Roley
Language: English
Domain: Social Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W1568829425