TY - JOUR
T1 - Dynamic implicit cost and Discount Window borrowing. An empirical investigation
AU - Dutkowsky, Donald H.
PY - 1993/8
Y1 - 1993/8
N2 - This paper investigates dynamic implicit cost in aggregate Discount Window borrowing. We utilize Goodfriend's formulation, with nonprice rationing based upon the bank's current request and its past borrowing record. Estimation by Generalized-Method-of-Moments reveals a positive, systematic implicit cost structure which dampens over time. Significance extends back to nine biweekly reserve maintenance intervals. We also specify implicit cost as a geometrically declining distributed lag of past borrowing and derive a semi-reduced form for borrowed reserve demand. Empirical results support this specification as well.
AB - This paper investigates dynamic implicit cost in aggregate Discount Window borrowing. We utilize Goodfriend's formulation, with nonprice rationing based upon the bank's current request and its past borrowing record. Estimation by Generalized-Method-of-Moments reveals a positive, systematic implicit cost structure which dampens over time. Significance extends back to nine biweekly reserve maintenance intervals. We also specify implicit cost as a geometrically declining distributed lag of past borrowing and derive a semi-reduced form for borrowed reserve demand. Empirical results support this specification as well.
KW - Central bank policy
KW - Discount window borrowing
KW - Operating target
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U2 - 10.1016/0304-3932(93)90037-G
DO - 10.1016/0304-3932(93)90037-G
M3 - Article
AN - SCOPUS:38249003575
SN - 0304-3932
VL - 32
SP - 105
EP - 120
JO - Carnegie-Rochester Confer. Series on Public Policy
JF - Carnegie-Rochester Confer. Series on Public Policy
IS - 1
ER -