Arbeitspapier
A sequential bargaining model of the fed funds market with excess reserves
We model bargaining between non-bank investors and heterogeneous bank borrowers in the federal funds market. The analysis highlights how the federal funds rate will respond to movements in other money market interest rates in an environment with elevated levels of excess reserves. The model predicts that the administered rate offered through the Federal Reserve's overnight reverse repurchase agreement facility influences the fed funds rate even when the facility is not used. Changes in repo rates pass through to the federal funds rate, but by less than one-for-one. We calibrate the model to data from 2017 and find in an out-of-sample test that the model quantitatively matches the increase in the federal funds rate in the first four months of 2018. The rise in the fed funds rate in 2018 is attributed to movements in repo rates and not to changes in the scarcity value of reserves.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2018-08
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schulhofer-Wohl, Sam
Clouse, James A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2018
- DOI
-
doi:10.21033/wp-2018-08
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schulhofer-Wohl, Sam
- Clouse, James A.
- Federal Reserve Bank of Chicago
Entstanden
- 2018
Ähnliche Objekte (12)
Efficient Sequential Bargaining
Excess reserves and monetary policy tightening
Excess reserves and monetary policy tightening
Cost of Holding Excess Reserves: The Indian Experience
Precautionary liquidity shocks, excess reserves and business cycles
Precautionary Liquidity Shocks, Excess Reserves and Business Cycles
The problem of excess reserves, then and now
Why are banks holding so many excess reserves?
Endogenous Money, Excess Reserves and Unconventional Monetary Policy
Excess Capacity in Oligopoly with Sequential Entry
Sequential bargaining with pure common values
Excess reserves and implementation of monetary policy of the ECB
Efficient Sequential Bargaining
Excess reserves and monetary policy tightening
Excess reserves and monetary policy tightening
Cost of Holding Excess Reserves: The Indian Experience
Precautionary liquidity shocks, excess reserves and business cycles
Precautionary Liquidity Shocks, Excess Reserves and Business Cycles
The problem of excess reserves, then and now
Why are banks holding so many excess reserves?
Endogenous Money, Excess Reserves and Unconventional Monetary Policy
Excess Capacity in Oligopoly with Sequential Entry
Sequential bargaining with pure common values
Excess reserves and implementation of monetary policy of the ECB
Efficient Sequential Bargaining
Excess reserves and monetary policy tightening
Excess reserves and monetary policy tightening
Cost of Holding Excess Reserves: The Indian Experience
Precautionary liquidity shocks, excess reserves and business cycles
Precautionary Liquidity Shocks, Excess Reserves and Business Cycles
The problem of excess reserves, then and now
Why are banks holding so many excess reserves?
Endogenous Money, Excess Reserves and Unconventional Monetary Policy
Excess Capacity in Oligopoly with Sequential Entry
Sequential bargaining with pure common values