Working Paper: NBER ID: w1001
Authors: V. Vance Roley
Abstract: The response of short-term interest rates to weekly money announcements since the Federal Reserve's change in operating procedures on October 6, 1979, is examined in this paper. The results indicate that the response increased significantly since October 1979, and that it varies nonlinearly according to the relation of money growth to the Federal Reserve!s long-run targets. The results also suggest that the increase in the response and the rise in the volatility of unanticipated money have contributed about equally to the large rise in interest rate volatility during this period.
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JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| unanticipated changes in money stock (E41) | short-term interest rates (E43) |
| increase in market responsiveness (F61) | rise in volatility (E32) |
| increased volatility of unanticipated changes in money (E41) | rise in volatility (E32) |