English, Article, Journal or magazine article edition: Modelling Federal Reserve Discount Policy Christopher F. Baum; Meral Karasulu

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Bookmark: http://trove.nla.gov.au/version/73024
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Modelling Federal Reserve Discount Policy
Author
  • Christopher F. Baum
  • Meral Karasulu
Physical Description
  • preprint
Notes
  • We employ threshold cointegration methodology to model the policy problem solved by the Federal Reserve System in their manipulation of the discount rate under a reserves target operating procedure utilized since October 1979. The infrequent and discrete adjustments that characterize movements in the discount rate instrument vis-a- vis the Federal Funds rate do not lend themselves to a linear cointegration framework. The inherently nonlinear relationship arising from the Fed's self-imposed constraints on discontinuously changing the discount rate is satisfactorily modelled as an instance of threshold cointegration between the discount rate and the Federal Funds rate.
  • Monetary policy, discount rate, Fed, threshold cointegration
  • RePEc:boc:bocoec:335
Language
  • English
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