The Announcement Effect: Evidence from Open Market Desk Data. (Session 1: The Reserves Market)
The Announcement Effect: Evidence from Open Market Desk Data. (Session 1: The Reserves Market)
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公告效果：来自公开市场数据的证据。
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
Òscar Jordà
中科院分区：
文献类型：
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作者：
Selva Demiralp;Òscar Jordà
I.货币传导机制的教科书观点依赖于中央银行通过控制准备金供应来操纵隔夜利率的能力，其次是一个理性预期机制，该机制确保隔夜利率的变动反映在较长期限的利率上。然而，虽然很少有人质疑央行有效控制隔夜利率的事实，但它通过流动性效应和期限结构关系的性质来控制隔夜利率的概念需要重新审视。现代中央银行的一般特点是公开宣布利率目标，如美国的联邦基金利率目标。在某些情况下，中央银行（如澳大利亚银行和英格兰银行）也会披露通胀目标，而在极端情况下，银行（如新西兰储备银行）会披露政策反应函数的参数。这些行动与传统的中央银行业务有很大的不同。人们很自然地会质疑，为什么央行放弃了曾经的保密行为，转而公开披露政策举措。可能的原因包括希望更好、更精确地控制隔夜利率，更重要的是，加强对未来政策举措的沟通--本质上，这是通过操纵预期来控制长期利率的圣杯。本文探讨这些问题，因为它们涉及到美国联邦储备。特别是，我们专注于联邦1994年的政策变化-通过它开始宣布联邦基金利率的目标水平-对流动性效应和中央银行使用公开市场操作来控制联邦基金市场的方式产生了影响。我们还研究了这一政策变化可能对期限结构的行为产生了什么影响。在1994年2月联邦的联邦公开市场委员会（FOMC）会议之前，联邦基金利率的货币政策目标和FOMC会议本身的结果一直是保密的，从未公布过。(1)在政策变化发生后，受到其他央行类似发展的启发，Demiralp和Jorda（2000），古特里和Wright（2000），Taylor（2001），Thornton（2001）和Woodford（2000）开始调查央行控制隔夜利率的能力-不仅仅是通过传统的公开市场操作，而是通过有效地传达隔夜利率的期望水平并随时准备执行该水平。正如Meulendyke（1998）所观察到的，“一旦银行知道了预期利率，[联邦基金]利率往往会立即调整到新的首选水平。“在本文中，我们将这种控制隔夜利率的方法称为公告效应（根据Demiralp和Jorda [2000]）;这种效应与传统的流动性效应不同，因为由于预期，发出新目标水平信号所需的公开市场操作量要小得多。我们追求的策略，以调查公告效果包括使用两种类型的控制。第一种方法是用两个主要子样本分析数据：一个是1994年政策变化之前的，另一个是1994年政策变化之后的。第二种方法是在子样本中，比较目标变更日周围的公开市场操作模式与子样本的其他部分。大多数时候，纽约联邦储备银行交易台（“交易台”）进行的公开市场操作旨在适应各种因素导致的储备需求变化，如货币持有量、浮动和大量国库余额的变化;管理流通中的货币;以及适应储备供应的其他变化。汉密尔顿（Hamilton，1997）基于一种特殊类型的变化（出乎意料的巨额国债余额），计算了意外准备金缺口的利率弹性。…
I. INTRODUCTION The textbook view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling the reserve supply, followed by a rational-expectations mechanism that ensures that movements in the overnight rate reverberate into longer maturity rates. However, while few dispute the fact that the central bank controls the overnight rate effectively, the notion that it does so via a liquidity effect and the nature of term structure relationships needs to be reexamined. Modern central banking is generally characterized by public announcements of an interest rate target, such as the federal funds rate target in the United States. In some cases, central banks (such as the Bank of Australia and the Bank of England) also disclose an inflation target, while in extreme cases, the banks (such as the Reserve Bank of New Zealand) disclose the parameters of the policy reaction function. These actions constitute a significant departure from traditional central banking. It is natural to question why central banks have abandoned their once-secretive behavior in favor of public disclosures of policy moves. Likely reasons include the desire for better and more precise control of the overnight rate, and, more important, enhanced communication of future policy moves--in essence, the Holy Grail of controlling long rates by also manipulating expectations. This paper investigates these issues as they relate to the U.S. Federal Reserve. In particular, we focus on how the Federal Reserve's 1994 policy change--by which it began announcing the target level for the federal funds rate--had an impact on the liquidity effect and the manner in which the central bank uses open market operations to control the federal funds market. We also examine what effect this policy change may have had on the behavior of the term structure. Prior to the Federal Reserve's Federal Open Market Committee (FOMC) meeting in February 1994, monetary policy objectives for the federal funds rate and the outcome of the FOMC meeting itself had been confidential and had never been announced. (1) After the policy change occurred, and inspired by similar developments in other central banks, Demiralp and Jorda (2000), Guthrie and Wright (2000), Taylor (2001), Thornton (2001), and Woodford (2000) began to investigate a central bank's ability to control the overnight rate--not merely through traditional open market operations, but by effectively communicating the desired level of the overnight rate and standing ready to enforce that level. As Meulendyke (1998) observes, "the [federal funds] rate has tended to move to the new preferred level as soon as the banks know the intended rate." In this paper, we term this method of controlling the overnight rate the announcement effect (following Demiralp and Jorda [2000]); this effect differs from the conventional liquidity effect in that the volume of open market operations required to signal the new target level is substantially smaller because of expectations. The strategy we pursue to investigate the announcement effect consists of using two types of controls. The first is to analyze the data with two primary subsamples: one predating and the other postdating the 1994 policy change. The second is to compare, within a subsample, the pattern of open market operations surrounding days in which the target was changed relative to the rest of the subsample. Most of the time, open market operations conducted by the Trading Desk of the Federal Reserve Bank of New York ("the Desk") are designed to accommodate variations in the reserve needs that stem from a variety of factors, such as changes in currency holdings, float, and large Treasury balances; to manage currency in circulation; and to accommodate other variations in the supply of reserves. Based on a particular type of variation (unexpectedly large Treasury balances), Hamilton (1997) calculates the interest rate elasticity to an unanticipated shortfall in reserves. …