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Money and Interest Rates

Using futures data as a measure of expected Fed policy has a number of advantages over statistical proxies. First, there is no issue of model selection; second, the vintage of the data used to produce the forecast is not an issue; and third, there are no generated- regressor problems. The main disadvantage, of course, is that it limits the analysis to the post-1989 period. As it embodies near-term expectations of the Fed funds rate, the rate from the spot month contract offers a promising way to measure the surprise element of specific Fed actions. Two factors complicate the use of futures data for this purpose, however | Federal Reserve Bank of Minneapolis Quarterly Review Fall 2001 Vol. 25 No. 4 pp. 2-13 Money and Interest Rates Cyril Monnet Economist Directorate General Research European Central Bank Warren E. Weber Senior Research Officer Research Department Federal Reserve Bank of Minneapolis Abstract This study describes and reconciles two common seemingly contradictory views about a key monetary policy relationship that between money and interest rates. Data since 1960 for about 40 countries support the Fisher equation view that these variables are positively related. But studies taking expectations into account support the liquidity effect view that they are negatively related. A simple model incorporates both views and demonstrates that which view applies at any time depends on when the change in money occurs and how long the public expects it to last. A surprise money change that is not expected to change future money growth moves interest rates in the opposite direction one that is expected to change future money growth moves interest rates in the same direction. The study also demonstrates that stating monetary policy as a rule for interest rates rather than money does not change the relationship between these variables. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. Central banks routinely state monetary policies in terms of interest rates. For example in October 2001 the European Central Bank stated that it had not changed interest rates recently because it considered current rates consistent with the maintenance of price stability over the medium term ECB 2001 p. 5 . In May 2001 Brazil s central bank increased interest rates because it was worried about mounting inflationary pressure according to the New York Times Rich 2001 . And in the first half of 2000 the U.S. Federal Open Market Committee increased the federal funds rate target three times in order to head .