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A computational model of banks' optimal reserve management policy

Citations

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Cited by:

  1. Friedman, Benjamin M. & Kuttner, Kenneth N., 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 24, pages 1345-1438, Elsevier.
  2. Güntner, Jochen H.F., 2015. "The federal funds market, excess reserves, and unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 225-250.
  3. Daniel L. Thornton, 2006. "The daily liquidity effect," Working Papers 2006-020, Federal Reserve Bank of St. Louis.
  4. Huberto M. Ennis & Todd Keister, 2008. "Understanding monetary policy implementation," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Sum), pages 235-263.
  5. Ulrike Neyer, 2009. "Interest on Reserves and the Flexibility of Monetary Policy in the Euro Area," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 417-438, June.
  6. Seth B. Carpenter & Selva Demiralp, 2006. "Anticipation of Monetary Policy and Open Market Operations," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
  7. Geethanjali Selvaretnam, 2014. "Optimal Reserves and Short-Term Interest Rates in a Model of Bank Runs," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(5), pages 537-558, November.
  8. Thomas B. King, 2008. "Discipline and Liquidity in the Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 295-317, March.
  9. Kempa, Michal, 2007. "What determines commercial banks' demand for reserves in the interbank market?," Research Discussion Papers 30/2007, Bank of Finland.
  10. Ringbom, Staffan & Shy, Oz & Stenbacka, Rune, 2004. "Optimal liquidity management and bail-out policy in the banking industry," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1319-1335, June.
  11. Garth Baughman & Francesca Carapella, 2020. "Voluntary Reserve Targets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 583-612, March.
  12. Huberto Ennis & John Weinberg, 2013. "Over-the-counter loans, adverse selection, and stigma in the interbank market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 601-616, October.
  13. Bech, Morten & Keister, Todd, 2017. "Liquidity regulation and the implementation of monetary policy," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 64-77.
  14. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 61-82, February.
  15. repec:zbw:bofitp:2013_029 is not listed on IDEAS
  16. Judson, Ruth A. & Klee, Elizabeth, 2010. "Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 713-731, September.
  17. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
  18. Ozgur (Ozzy) Akay & Mark D. Griffiths & Drew B. Winters, 2010. "On The Robustness Of Range‐Based Volatility Estimators," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 179-199, June.
  19. Leonardo Bartolini & Alessandro Prati, 2003. "The execution of monetary policy: a tale of two central banks [‘Estimating continuous-time stochastic volatility models of the short-term interest rate’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(37), pages 435-467.
  20. Christiano Arrigoni Coelho & Julio Cesar Costa Pinto, 2004. "Modelagem Do Comportamento Ótimo Dos Bancos No Mercado De Reservas Brasileiro," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 032, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  21. Dressler, Scott J. & Kersting, Erasmus K., 2015. "Excess reserves and economic activity," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 17-31.
  22. Milton H. Marquis, 2002. "Setting the interest rate," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct11.
  23. Ennis, Huberto M. & Weinberg, John A., 2009. "A model of stigma in the fed funds market," UC3M Working papers. Economics we095937, Universidad Carlos III de Madrid. Departamento de Economía.
  24. Garth Baughman & Francesca Carapella, 2023. "A Simple Model of Voluntary Reserve Targets with Tolerance Bands," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 655-672, March.
  25. Maria Semenova & Irina Andrievskaya, 2012. "Are banks peer disciplined? Evidence from post-crisis Russia," HSE Working papers WP BRP 07/FE/2012, National Research University Higher School of Economics.
  26. Richard G. Anderson & Suresh K. Nair, 2005. "A specialized inventory problem in banks: optimizing retail sweeps," Working Papers 2005-023, Federal Reserve Bank of St. Louis.
  27. Thomas B. King, 2003. "Discipline and liquidity in the market for federal funds," Supervisory Policy Analysis Working Papers 2003-02, Federal Reserve Bank of St. Louis.
  28. Ruth A. Judson & Elizabeth C. Klee, 2009. "A study of U.S. monetary policy implementation: demand for reserves on a period average basis," Finance and Economics Discussion Series 2009-22, Board of Governors of the Federal Reserve System (U.S.).
  29. Todd Keister & Antoine Martin & James J. McAndrews, 2008. "Divorcing money from monetary policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 41-56.
  30. Demiralp, Selva & Farley, Dennis, 2005. "Declining required reserves, funds rate volatility, and open market operations," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1131-1152, May.
  31. Geethanjali Selvaretnam, 2007. "Regulation of Reserves and Interest Rates in a Model of Bank Runs," CDMA Working Paper Series 200714, Centre for Dynamic Macroeconomic Analysis.
  32. Seth Carpenter & Selva Demiralp, 2008. "The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 1-24, February.
  33. Andrievskaya, Irina & Semenova, Maria, 2013. "Market discipline and the Russian interbank market," BOFIT Discussion Papers 29/2013, Bank of Finland, Institute for Economies in Transition.
  34. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
  35. repec:zbw:bofrdp:2007_030 is not listed on IDEAS
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