tailieunhanh - Essays on Interest Rates, Vol. 1

Our results indicate only a significant reaction of interest rate swap spreads to some policy events. Among others, the rumours of the early warning for Portugal and Germany on 17 January led to a decrease of the swap spread for Portugal, pointing to increasing concerns about fiscal developments. In contrast, when the Council declared that Portugal has an excessive deficit on 5 November, swap spreads increased both for Portugal and Germany indicating a possible positive confidence effect. Furthermore, the change in swap spreads, when significant, has been mostly five basis points or less, and not exceeding ten basis points according to our estimates. Using moving window. | This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title Essays on Interest Rates Vol. 1 Volume Author Editor Jack M. Guttentag and Phillip Cagan eds. Volume Publisher UMI Volume ISBN 0-87014-201-1 Volume URL http books gutt69-1 Publication Date 1969 Chapter Title Interest Rates and Bank Reserves - A Reinterpretation of the Statistical Association. Phillip Cagan Chapter Author Jack M. Guttentag Phillip Cagan Chapter URL http chapters c1212 Chapter pages in book p. 223 - 271 6 Interest Rates and Bank Reserves A Reinterpretation of the Statistical Association Phillip Cagan I. Introduction Many studies of banking have found that reserve ratios are correlated with interest rates the relationship has become the centerpiece of theoretical and econometric models of the financial sector linking the supply of money to market developments. A currently popular interpretation of the association is that banks equate the marginal advantages of additional free reserves and earning assets the two substitute for each other in bank portfolios depending upon the cost of borrowing reserves and the rate of return on assets. Given the quantity of unborrowed reserves provided by the monetary authorities a relation between free reserves and interest rates helps determine the supply of bank deposits. That an association exists between reserves and interest rates has long been noted in . data. While the interest-rate data need no special comment the data on reserves do. Before 1914 the association pertained to excess reserves vault cash and balances with reserve Note Circulation of an earlier version of this study in 1966 elicited many comments which were most useful in preparing this revision. I wish to thank in particular Karl Brunner Richard Davis Peter Frost Jack Guttentag George Morrison Anna Jacobson Schwartz Robert Shay and William L. Silber. The conclusions are entirely mine of course. I am also .