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Interest Rate Volatility and Monetary Policy

Author: Carl E Walsh; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1982.
Series: Working paper series (National Bureau of Economic Research), no. w0915.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
In October 1979 the Federal Reserve shifted from an interest rate oriented operating procedure to a reserves oriented procedure. It is argued in this paper that part of the very large increase in interest rate volatility which resulted from the policy switch may have been due to shifts in the parameters of the money demand equation, shifts due to the adoption-of a reserve aggregates operating procedure. This result  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Carl E Walsh; National Bureau of Economic Research.
OCLC Number: 756573731
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research), no. w0915.
Responsibility: Carl E. Walsh.

Abstract:

In October 1979 the Federal Reserve shifted from an interest rate oriented operating procedure to a reserves oriented procedure. It is argued in this paper that part of the very large increase in interest rate volatility which resulted from the policy switch may have been due to shifts in the parameters of the money demand equation, shifts due to the adoption-of a reserve aggregates operating procedure. This result is derived by comparing rational expectations equilibria in a simple theoretical model under alternative policy rules. This allows the variance of interest rates to be explicitly expressed as a function of the policy rule.

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