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The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability
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- Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
- Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2009.
"Optimal allotment policy in central bank open market operations,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 405-420.
- Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, "undated". "Optimal Allotment Policy in Central Bank Open Market Operations," IEW - Working Papers 201, Institute for Empirical Research in Economics - University of Zurich.
- Tapking, Jens, 2006.
"Multiple equilibrium overnight rates in a dynamic interbank market game,"
Games and Economic Behavior, Elsevier, vol. 56(2), pages 350-370, August.
- Tapking, Jens, 2003. "Multiple equilibrium overnight rates in a dynamic interbank market game," Discussion Paper Series 1: Economic Studies 2003,04, Deutsche Bundesbank.
- Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409018, University Library of Munich, Germany.
- Jens Tapking, 2004. "Multiple equilibrium overnight rates in a dynamic interbank market game," Finance 0409042, University Library of Munich, Germany.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- Craig H. Furfine, 1998. "Interbank payments and the daily federal funds rate," Finance and Economics Discussion Series 1998-31, Board of Governors of the Federal Reserve System (U.S.).
- Michael Woodford, 2001.
"Monetary policy in the information economy,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 297-370.
- Michael Woodford, 2001. "Monetary Policy in the Information Economy," NBER Working Papers 8674, National Bureau of Economic Research, Inc.
- Cocco, João F. & Gomes, Francisco J. & Martins, Nuno C., 2009. "Lending relationships in the interbank market," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 24-48, January.
- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003.
"The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system,"
Temi di discussione (Economic working papers)
475, Bank of Italy, Economic Research and International Relations Area.
- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper 24, Tor Vergata University, CEIS.
- C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.
- Baris Kocaarslan & Ugur Soytas, 2021. "The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis," Sustainability, MDPI, vol. 13(4), pages 1-12, February.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market,"
Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 80, European Central Bank.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
- Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
- Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 197, European Central Bank.
- Lee, Young-Sook, 2003. "The Federal funds market and the overnight Eurodollar market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 749-771, April.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011.
"The Interbank Market after August 2007: What Has Changed, and Why?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
- Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers) 731, Bank of Italy, Economic Research and International Relations Area.
- David Eagle, 1995. "Federal‐funds‐rate volatility and the reserve‐maintenance period," Review of Financial Economics, John Wiley & Sons, vol. 4(2), pages 157-170, March.
- Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
- Nuno Cassola & Claudio Morana, 2006.
"Volatility of interest rates in the euro area: Evidence from high frequency data,"
The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
- Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
- R. Baupain & A. Durre, 2007.
"The interday and intraday patterns of the overnight market : evidence from an electronic platform,"
Post-Print
hal-00300195, HAL.
- R. Beaupain & A. Durre, 2008. "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print hal-00393019, HAL.
- Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
- R. Beaupain & A. Durre, 2009. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print hal-00393027, HAL.
- James P. Dow, 2001. "The Demand for Excess Reserves," Southern Economic Journal, John Wiley & Sons, vol. 67(3), pages 685-700, January.
- James A. Clouse & Douglas W. Elmendorf, 1997. "Declining required reserves and the volatility of the federal funds rate," Finance and Economics Discussion Series 1997-30, Board of Governors of the Federal Reserve System (U.S.).
- Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2016. "Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets," Finance and Economics Discussion Series 2016-084, Board of Governors of the Federal Reserve System (U.S.).
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- R. Beaupain & A. Durre, 2013. "Central bank reserves and interbank market liquidity in the euro area," Post-Print hal-00840147, HAL.
- Ozgur (Ozzy) Akay & Mark D. Griffiths & Drew B. Winters, 2010. "On The Robustness Of Range‐Based Volatility Estimators," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 179-199, June.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001.
"Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention,"
Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1287-1317, July.
- Mr. Giuseppe Bertola & Mr. Leonardo Bartolini & Mr. Alessandro Prati, 2000. "Banks’ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," IMF Working Papers 2000/163, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention," Staff Reports 109, Federal Reserve Bank of New York.
- Leonardo Bartolini & Giuseppe Bertoli & Alessandro Prati, 2000. "Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," Econometric Society World Congress 2000 Contributed Papers 0123, Econometric Society.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
"Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 137-159, February.
- Mr. Alessandro Prati & Mr. Giuseppe Bertola & Mr. Leonardo Bartolini, 2000. "Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate," IMF Working Papers 2000/206, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Day-to-day monetary policy and the volatility of the federal funds interest rate," Staff Reports 110, Federal Reserve Bank of New York.
- Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003.
"The overnight interbank market: Evidence from the G-7 and the Euro zone,"
Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2045-2083, October.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2001. "The overnight interbank market: evidence from the G-7 and the Euro zone," Staff Reports 135, Federal Reserve Bank of New York.
- Bertola, Giuseppe & Prati, Alessandro & Bartolini, Leonardo, 2002. "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers 3090, C.E.P.R. Discussion Papers.
- Söderström, Ulf, 1999.
"Predicting monetary policy using federal funds future prices,"
Working Paper Series
85, Sveriges Riksbank (Central Bank of Sweden).
- Söderström, Ulf, 1999. "Predicting monetary policy using federal funds futures prices," SSE/EFI Working Paper Series in Economics and Finance 307, Stockholm School of Economics.
- Kotomin, Vladimir & Winters, Drew B., 2007. "The impact of the return to lagged reserve requirements on the federal funds market," Journal of Economics and Business, Elsevier, vol. 59(2), pages 111-129.
- Michael Woodford, 2002. "Financial market efficiency and the effectiveness of monetary policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 85-94.
- Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006.
"Overnight interbank loan markets,"
Journal of Economics and Business, Elsevier, vol. 58(1), pages 67-83.
- Selva Demiralp & Brian Preslopsky & William C. Whitesell, 2004. "Overnight interbank loan markets," Finance and Economics Discussion Series 2004-29, Board of Governors of the Federal Reserve System (U.S.).
- Christopher S. Sutherland, 2017. "What Explains Month-End Funding Pressure in Canada?," Discussion Papers 17-9, Bank of Canada.
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- Durré, Alain & Beaupain, Renaud, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series 1500, European Central Bank.
- Andrew H. Chen & Sumon C. Mazumdar, 1995. "Interest rate linkages within the EMS and bank credit supply," European Financial Management, European Financial Management Association, vol. 1(1), pages 37-48, March.
- Quiros, Gabriel Perez & Mendizabal, Hugo Rodriguez, 2006.
"The Daily Market for Funds in Europe: What Has Changed with the EMU?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 91-118, February.
- Gabriel Pérez Quirós & Hugo Rodríguez Mendizábal, 2003. "The daily market for funds in Europe: what has changed with the EMU," Working Papers 0313, Banco de España.
- Gabriel Pérez-Quirós & Hugo RodrÃguez Mendizábal, 2015. "The Daily Market for Funds in Europe: What has Changed with the EMU?," Working Papers 22, Barcelona School of Economics.
- Gabriel Pérez Quirós & Hugo Rodríguez Mendizábal, 2003. "The Daily Market for Funds in Europe: What Has Changed with the EMU?," UFAE and IAE Working Papers 559.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Kocaarslan, Baris & Soytas, Ugur, 2019. "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)," Energy Economics, Elsevier, vol. 84(C).
- Kocaarslan, Baris & Mushtaq, Rizwan, 2024. "The impact of liquidity conditions on the time-varying link between U.S. municipal green bonds and major risky markets during the COVID-19 crisis: A machine learning approach," Energy Policy, Elsevier, vol. 184(C).
- Ken B. Cyree & Drew B. Winters, 2001. "Analysis Of Federal Funds Rate Changes And Variance Patterns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 403-418, September.
- Bindseil, Ulrich & Nyborg, Kjell G., 2007. "Monetary policy implementation: A European Perspective," Discussion Papers 2007/10, Norwegian School of Economics, Department of Business and Management Science.
- Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
- Kocaarslan, Baris & Soytas, Ugur, 2023. "The role of major markets in predicting the U.S. municipal green bond market performance: New evidence from machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
- Furfine, Craig H, 2001. "Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market," The Journal of Business, University of Chicago Press, vol. 74(1), pages 33-57, January.
- Ahmed S. Baig & Drew B. Winters, 2021. "Month-End Regularities in the Overnight Bank Funding Markets," JRFM, MDPI, vol. 14(5), pages 1-16, May.
- Eagle, David, 1995. "Federal-funds-rate volatility and the reserve-maintenance period," Review of Financial Economics, Elsevier, vol. 4(2), pages 157-170.
- Clouse, James A. & Dow Jr., James P., 1999. "Fixed costs and the behavior of the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1015-1029, July.
- Furfine, Craig H., 2000. "Interbank payments and the daily federal funds rate," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 535-553, October.
- Angelo Baglioni, 2012.
"Liquidity Crunch in the Interbank Market: Is it Credit or Liquidity Risk, or Both?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 1-18, April.
- Angelo Baglioni, 2009. "Liquidity crunch in the interbank market: is it credit or liquidity risk, or both?," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0091, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Mark D. Griffiths & Drew B. Winters, 1996. "The Relation Between The Federal Funds Cash And Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 359-376, September.
- Griffiths, Mark D. & Winters, Drew B., 1995. "Day-of-the-week effects in federal funds rates: Further empirical findings," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1265-1284, October.
- Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
- C. H. Furfine, 1999. "The pricing of bank lending and borrowing: evidence from the federal funds market," BIS Working Papers 62, Bank for International Settlements.
- Erzurumlu, Yaman Omer & Kotomin, Vladimir, 2010. "Inventory management effects, isolated: Evidence from the federal funds market," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 61-66, February.
- Demiralp, Selva & Farley, Dennis, 2005.
"Declining required reserves, funds rate volatility, and open market operations,"
Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1131-1152, May.
- Selva Demiralp & Dennis Farley, 2003. "Declining required reserves, funds rate volatility, and open market operations," Finance and Economics Discussion Series 2003-27, Board of Governors of the Federal Reserve System (U.S.).
- Kocaarslan, Baris & Soytas, Ugur, 2021. "Reserve currency and the volatility of clean energy stocks: The role of uncertainty," Energy Economics, Elsevier, vol. 104(C).
- Luis A. Ahumada & Álvaro García & Luis Opazo & Jorge Selaive, 2009. "Interbank Rate and the Liquidity of the Market," Working Papers Central Bank of Chile 516, Central Bank of Chile.
- Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 508-520, September.
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