Scarce, abundant, or ample?: a time-varying model of the reserve demand curve

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Bibliographic Details
Authors and Corporations:	Afonso, Gara (Author), Giannone, Domenico (Author), La Spada, Gabriele (Author), Williams, John C. (Author)
Other Authors:	Giannone, Domenico 1973- [Author] • La Spada, Gabriele 1983- [Author] • Williams, John C. 1962- [Author]
Type of Resource:	E-Book
Language:	English
published:	New York, NY Federal Reserve Bank of New York [2022]
Series:	Federal Reserve Bank of New York: Staff reports ; no. 1019 (May 2022)
Subjects:	demand for reserves federal funds market monetary policy
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen

Description
Summary:	Does the federal funds rate respond to shocks when aggregate reserves are in the trillions of dollars? Has banks' demand for reserves moved over time? We provide a structural time-varying estimate of the slope of the reserve demand curve over 2010-21. We estimate a time-varying vector autoregressive model at daily frequency with an instrumental variable approach to address endogeneity. Consistent with economic theory, our estimates show a nonlinear demand function that exhibits a negative slope in 2010-11 and 2018-19 but is flat over 2012-17 and after mid-2020. We also find that the curve has moved outward, both vertically and horizontally.
Physical Description:	1 Online-Ressource (circa 54 Seiten); Illustrationen