Interest rate uncertainty and the founding of the Federal Reserve

• 成果类型: Article
• 署名作者: University System of Ohio; Ohio University
• 刊物名称: JOURNAL OF ECONOMIC HISTORY
• ISSN/ISSBN: 0022-0507
• DOI: 10.1017/S0022050700021756
• 发表日期: 1998
• 页码: 1110-1117
• 关键词: regime changes; expectations; adjustment; inflation

摘要

This article examines the impact of what is undoubtedly the most important monetary regime change in U.S. history: the founding of the Federal Reserve System. We find, using a (G)ARCH model, a significant reduction in interest rate uncertainty following the founding of the Fed. Additionally, we show that the passage of the Aldrich-Vreeland Act in 1908, another significant change in policy, also led to a reduction in interest rate uncertainty. These results are robust to alternative interest rare models, as well as to incorporating the impact of other events important to financial markets in our sample.