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- W1477882863 abstract "This paper studies the reserve market by interpreting vector autoregression (VAR) using an optimizing equilibrium model. A theoretical model of loan and reserve markets, where banks solve a dynamic maximization problem and the Federal Reserve Board controls the supply of reserves, is constructed and solved numerically. A trivariate VAR summarizes the dynamics of the federal funds rate, the one-month commercial paper rate, and real nonborrowed reserves from 1984:3 to 1996:1. In the spirit of Gallant and Tauchen (1996), the scores of the estimated VAR are used as orthogonality conditions for Generalized Methods of Moments to calibrate the model. It is shown that, since 1984, the reserve supply shocks dominate reserve demand shocks in the residual of the federal funds rate equation in the VAR I conclude that the residual offers a reasonable proxy for an exogenous shock to monetary policy." @default.
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- W1477882863 date "2000-01-01" @default.
- W1477882863 modified "2023-09-23" @default.
- W1477882863 title "An Analysis of the Reserve Market: Interpreting Vector Autoregressions Using a Theoretical Model" @default.
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