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• W1575419395 abstract "The purpose of this paper is to investigate the daily effect of open market operation on short-term interest rate. The net issue of central bankfs certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we disentangle the effect of the defensive operation from the dynamic operation. Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bankfs attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero which means the daily liquidity effect exists.Key words:open market operation, interest rates, daily liquidity effect." @default.
• W1575419395 created "2016-06-24" @default.
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• W1575419395 date "2005-04-30" @default.
• W1575419395 modified "2023-09-24" @default.
• W1575419395 title "The effect of daily open market operation on money market interest rates" @default.
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