Interest Rate Uncertainty and the Founding of the Federal Reserve
Journal of Economic History
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.
Cambridge University Press
Caporale, Tony and McKiernan, Barbara, "Interest Rate Uncertainty and the Founding of the Federal Reserve" (1998). Economics and Finance Faculty Publications. 22.