Declining required reserves, funds rate volatility, and open market operations
Division of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Business & Economics - 42 pages
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Bai and Perron balance needs basis points Board of Govemors Brian Sack Credit Daily Free Reserves December Declining Required Reserves dependent variable depository institutions Desk’s reaction function Desk’s response draining operations Economics Discussion Series excess reserves explanatory variables February federal funds rate Federal Reserve Bank Finance and Economics ﬁrst day ﬁrst Thursday Free Reserves Surplus funds rate volatility High-Low Range increase Inﬂation interest rate January Jorda long-term RPs maintenance period marginal effects million millionX 14 Monetary Policy MSP operation null hypothesis open market operations operating balances ovemight RP operations pattem payment ﬂows payment-related demands period average Rate from Target ratio reﬂect remaining reserve need repurchase agreements required clearing balances reserve demand reserve impact reserve requirements Reserve’s Second Friday Settlement Wednesday short-term RP signiﬁcant signiﬁcantly special pressure days Speciﬁcally temporary operations Term MSP term operation term RP operations tobit model total required balances transaction deposits transactions Wald test