We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
from Part III - Policy
Published online by Cambridge University Press: 05 February 2014
11.1 Introduction
This chapter examines the link between US overnight money markets, before, during, and emerging from the financial crisis that began in August 2007. In particular, the chapter focuses on the transmission of the monetary policy stance from the overnight federal funds market to the overnight US Treasury general collateral (GC) repurchase agreement (repo) market. In addition, the chapter estimates the liquidity effects in these two money markets over time, with an eye to gauging potential upward pressure on the two money market interest rates from hypothetical liquidity draining by the Federal Reserve.
To the best of our knowledge, there has been little recent work done using relatively modern econometric techniques which evaluates linkages between money markets. Much of the monetary policy transmission literature examines lower-frequency changes in interest rates, and then traces these changes through to real output and the rest of the economy. Often assumed to work seamlessly is the first step in this transmission – the transmission of the monetary policy stance from the federal funds market to other money markets. And as the recent financial crisis has demonstrated, seemingly resilient linkages between financial markets may suddenly weaken or disappear.
Given that these markets are the first markets in the monetary policy transmission chain, the focus on the money markets and their functioning during and emerging from the financial crisis is easily justifiable.
To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.
Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.
Find out more about the Kindle Personal Document Service.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.
