1998/12/01 by Tony Caporale, Barbara McKiernan · 14 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Market Dynamics and Volatility #Economic theories and models #Interest rate #Economics #Monetary policy #Sample (material) #Quantitative easing #Monetary economics #Financial economics #Central bank
paper · doi:10.1017/s0022050700021756
published in The Journal of Economic History 58(4), 1110-1117 (Cambridge University Press)
openalex publication_date 1998/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/06/26
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 rate models, as well as to incorporating the impact of other events important to financial markets in our sample.