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The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior

Author

Listed:
  • Spence Hilton

    (Federal Reserve Bank of New York)

  • Warren B. Hrung

    (Federal Reserve Bank of New York)

Abstract

We analyze the impact that reserve levels accumulated through the preceding day in a reserve maintenance period have on the level of the federal funds rate each morning prior to when open-market operations are arranged. Our empirical results and other evidence provided about intraday patterns of the federal funds rate demonstrate that the pace at which reserves are supplied over a maintenance period to meet banks’ total reserve requirements is an important determinant of federal funds rate behavior.

Suggested Citation

  • Spence Hilton & Warren B. Hrung, 2010. "The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior," International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 101-118, September.
    • Handle: RePEc:ijc:ijcjou:y:2010:q:3:a:3
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    Citations

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    Cited by:

    1. Warren B. Hrunga & Jason S. Seligman, 2015. "Responses to the Financial Crisis, Treasury Debt, and the Impact on Short-Term Money Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 11(1), pages 151-190, January.
    2. Friedman, Benjamin M. & Kuttner, Kenneth N., 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 24, pages 1345-1438, Elsevier.

    More about this item

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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