بانک فدرال و نرخ های کوتاه مدت:آیا عملیات های بازار آزاد،همان عملیات های دهان آزاد و یا هموار کردن نرخ بهره است؟

It is widely believed that the Fed controls the federal funds rate by altering the degree of pressure in the reserve market through open market operations when it changes its target for the funds rate. Recently, however, several analysts have suggested that the Fed need not conduct open market operations to change the funds rate. Rather, they argue it is sufficient that the Fed indicate its desire for the funds rate. This paper notes that there is yet a third alternative, the interest-rate-smoothing hypothesis, that suggests that the Fed does not move rates per se but, rather, smooths the transition of rates to the new equilibrium required by economic shocks. This paper tests the open market and open mouth alternatives using a methodology first used by Cook and Hahn [Journal of Monetary Economics (1989a) 331]. Finding no evidence that either open market operations or open mouth operations can account for the close relationship between the funds rate and the funds rate target, a variety of evidence consistent with the interest-rate-smoothing hypothesis is considered. The results suggest that many changes in the Fed’s funds rate target are an endogenous response to economic events and suggest that an alternative way to identify exogenous changes in policy is to identify exogenous changes in the Fed’s funds rate target.

During much of its history, the Federal Reserve has implemented monetary policy by targeting short-term interest rates – since the mid-1970s, the federal funds rate.1 The conventional view, which I call the open market hypothesis, is that the Fed affects short-term interest rates though open market operations. The Fed puts upward pressure on interest rates by reducing the supply of reserves through an open market sale and reduces interest rates by purchasing securities. The effect of these operations is initially reflected in the federal funds rate and subsequently in other short-term interest rates.

This paper investigates whether relationships between the federal funds rate and the Fed’s federal funds rate target can be accounted for by open market operations or open mouth operations by estimating the response of the three-month T-bill rate and the effective federal funds rate to changes in the funds rate target. For the period from 1974 to 1979 and during the 1980s, there is no evidence that the Fed moved the funds rate using either open market or open mouth operations. Moreover, a more detailed analysis of Cook and Hahn’s (1989a) data reveals that many of the funds rate target changes they identified were due to the endogenous movement of the funds rate and not to open market operations. Hence, their conclusion that the estimated response of Treasury rates to WSJ-identified target changes is evidence of the liquidity effect is not supported by the market’s reaction to such changes. What Cook and Hahn identified is an announcement effect, not altogether different from that long associated with changes in the Fed’s discount rate.