Agenda

10 Mar 2023 12:15

Domenico Giannone - Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve

Meeting Room 1, San Giobbe Economics Campus

Domenico Giannone (Northwestern Univeristy/Amazon) - Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve

Abstract:
Does the federal funds rate respond to shocks when aggregate reserves are in the trillions of dollars? Has banks’ demand for reserves moved over time? We provide a structural time-varying estimate of the slope of the reserve demand curve over 2010-21. We estimate a time-varying vector autoregressive model at daily frequency with an instrumental variable approach to address endogeneity. Consistent with economic theory, our estimates show a nonlinear demand function that exhibits a negative slope in 2010-11 and 2018-19 but is flat over 2012-17 and after mid-2020. We also find that the curve has moved outward, both vertically and horizontally.

Language

The event will be held in English

Organized by

Dipartimento di Economia (EcSeminars)

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