Belongia, Michael and Hinich, Melvin (2009): The evolving role and definition of the federal funds rate in the conduct of U.S. monetary policy.
Download (222Kb) | Preview
Over the past twenty years, the federal funds rate has evolved from being an intermediate target or indicator variable in discussions of monetary policy to the Federal Reserve’s (exogenous) policy instrument. How the funds rate is characterized has important implications for modeling, particularly in settings such as the popular Taylor Rule. Crucially, however, little investigation has been done to examine whether the funds rate meets the conditions one would require for an instrument of policy. This paper offers empirical evidence on the relationships among the federal funds rate, variables that might influence its behavior and variables of interest to monetary policy.
|Item Type:||MPRA Paper|
|Original Title:||The evolving role and definition of the federal funds rate in the conduct of U.S. monetary policy|
|Keywords:||federal funds rate; monetary policy; causality tests; reserves|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Michael Belongia|
|Date Deposited:||04. Dec 2009 23:22|
|Last Modified:||12. Feb 2013 20:46|
Andersen, Leonall C. and Denis S. Karnosky. "Some Considerations in the Use of Monetary Aggregates for the Implementation of Monetary Policy," Federal Reserve Bank of St. Louis Review (September 1977), pp. 2-7.
Bardsen, Gunnar, Eilev S. Jansen, and Ragnar Nymoen. “Econometric Inflation Targeting,” Econometrics Journal 2 (2003), pp. 430 – 61.
Belongia, Michael T. “Why Monetary Policy is Opaque Rather Than Transparent,” Public Choice (December 2007), pp. 259 – 67. _______ "Consequences of Money Stock Mismeasurement: Evidence for Three Countries,” in, M.T. Belongia and J. Binner (eds.) Divisia Monetary Aggregates: Theory and Practice, New York: Palgrave (2000)
________"Measurement Matters: Recent Evidence from Monetary Economics Re-examined," Journal of Political Economy (Oct. 1996), pp. 1065-83.
Bernanke, Ben S. and Alan S. Blinder. “Is it Money or Credit, or Both, or Neither? Credit, Money and Aggregate Demand.” Papers and Proceedings of American Economic Association (May 1988), pp. 435 – 39.
__________"The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review (September 1992), pp. 901-21.
Boschen, John F. and Kathleen E. Talbot. "Monetary Base Growth, Deposit Growth, and Inflation in the Postwar United States," Journal of Business (July 1991), pp. 313-37.
Brock, William. A. and C.L. Sayers. “Is the Business Cycle Characterized by
Deterministic Chaos?” Journal of Monetary Economics (1988), pp. 71–90.
Brooks, Chris and Melvin J. Hinich. “Cross Correlations and Cross Bi-correlations in Sterling Exchange Rates,” Journal of Empirical Finance, (6: 1999), pp. 385 – 404.
Cochrane, John H. “Identification with Taylor Rules: A Critical Review,” NBER Working Paper No. 13410 (September 2007) _________ “Inflation Determination with Taylor Rules: A Critical Review,” NBER Working Paper No. 13409 (September 2007)
Granger, C.W.J. “Testing for Causality: A Personal Viewpoint,” Journal of Economic Dynamics and Control 2 (1980), pp. 329 – 52
Hinich, Melvin J. “Testing for Dependence in the Input to a Linear Time Series Model,” Journal of Nonparametric Statistics (6:1996), pp. 205 – 21.
Hinich, Melvin .J and D. M. Patterson. "Detecting Epochs of Transient Dependence in White Noise," in, Money, Measurement and Computation Michael T. Belongia and Jane M. Binner (eds.), (2005). London: Palgrave.
McCallum, Bennett T. "Robustness Properties of a Rule for Monetary Policy," Carnegie-Rochester Conference Series on Public Policy, vol. 29 (1988), pp. 175-203.
Meltzer, Allan H. “The Fed at Seventy-Five,” in, M. T. Belongia (ed.) Monetary Policy on the Seventy-Fifth Anniversary of the Federal Reserve System, Kluwer Academic Publishers: Norwell, MA. (1989), pp. 3 – 65.
Neftci, S. N. “Are economic time series asymmetric over the business cycle?” Journal of Political Economy Vol. 92 (April 1984), pp. 307–328.
Tobin, James. “Monetary Semantics,” in, Karl Brunner (ed.), Targets and Indicators of Monetary Policy. San Francisco: Chandler (1969), pp. 165 – 74
Valderrama, Diego. “Statistical Nonlinearities in the Business Cycle: A Challenge for the Canonical RBC Model,” Journal of Economic Dynamics and Control (2007).