The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems

V. Vance Roley

No 1812, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The 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 October 1979, October 1982, and February 1984.

Date: 1986-01
Note: ME
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Citations: View citations in EconPapers (4)

Published as Roley, V. Vance. "The Effects of Money Announcements Under Alternative Monetary Control Procedures, Vol. 19, No. 3, August 1987.

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