تاثیر عملیات بازار آزاد در بانک فدرال امریکا

The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of market participants through their open market operations. These operations may amount to 20% of the day's volume and are concentrated during the half hour known as “Fed Time”. Using previously unavailable data on open market operations from 1982 to 1988, our paper provides the first comprehensive examination of the impact of the Federal Reserve Bank's trading on both fixed income instruments and foreign currencies. Our results detail a dramatic increase in volatility during Fed Time, consistent with market expectations of Fed intervention during this time interval. We find that there is little systematic difference in market impact between reserve-draining and reserve-adding operations. Additionally, Fed Time volatility is, on average, higher on days when open market operations are absent. These results suggest that the markets are potentially confused about the purpose of the open market operations during our sample period. The evidence is also consistent with the Fed operations conveying information which smooths market participants’ expectations.

The goal of this paper is to investigate the impact of the Federal Reserve Bank's open market operations on the financial markets. These operations typically involve the purchase or sale of Treasury securities and can represent a substantial amount of any day's trading volume. Using new daily data on the operations, we are able to assess the impact on eight different financial markets: Treasury bill, Eurodollar, Treasury bond, and five U.S. dollar exchange rates. The Federal Reserve Bank can be viewed as a trader with private information. This information is revealed to the market in many different ways: remarks by the Chairman of the Federal Reserve, testimony before the House and Senate Banking Committees, the release of the Beige book, the minutes of the Federal Open Market Committee (FOMC) meetings, changes in reserve requirements, changes in the discount rate, and open market operations. The last method is, by far, the primary and most actively employed policy tool of the Federal Reserve Bank in implementing its monetary policy. Therefore, our analysis provides a rare opportunity to study the effects of private information trading. Data on private trades are often unavailable and the identity of the informed traders is seldom known

The Federal Reserve Bank is a unique trader whose actions reveal information about monetary policy. The trading is concentrated during the half-hour known as Fed Time. We find that market volatility is dramatically higher during this half hour than surrounding times. However, this increased volatility is independent of whether the Fed actually trades in the market. In fact, there is some evidence that volatility is lower during Fed Time when the Fed trades than when it does not trade. We also examine how the market differentiates between reserve-adding and reserve-draining operations by the Federal Reserve Bank. Reserve-adding volatility appears to be higher than reserve-draining volatility for both fixed income and currency futures. More startling is the result that the effects on futures returns of reserve-draining and reserve-adding operations are statistically indistinguishable from one another.