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Interbank payments and the daily federal funds rate

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Cited by:

  1. Akram, Q. Farooq & Findreng, Jon H., 2021. "Norwegian interbank market's response to changes in liquidity policy," Journal of Banking & Finance, Elsevier, vol. 125(C).
  2. Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
  3. Bucher, Monika & Hauck, Achim & Neyer, Ulrike, 2014. "Frictions in the interbank market and uncertain liquidity needs: Implications for monetary policy implementation," DICE Discussion Papers 134, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
  4. Elizabeth C. Klee, 2007. "Operational problems and aggregate uncertainty in the federal funds market," Finance and Economics Discussion Series 2007-49, Board of Governors of the Federal Reserve System (U.S.).
  5. Ulrike Neyer, 2009. "Interest on Reserves and the Flexibility of Monetary Policy in the Euro Area," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 417-438, June.
  6. Selva Demiralp & Oscar Jorda, "undated". "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics 99-06, California Davis - Department of Economics.
  7. Adam Ashcraft & James Mcandrews & David Skeie, 2011. "Precautionary Reserves and the Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s2), pages 311-348, October.
  8. Denbee, Edward & Julliard, Christian & Li, Ye & Yuan, Kathy, 2021. "Network risk and key players: A structural analysis of interbank liquidity," Journal of Financial Economics, Elsevier, vol. 141(3), pages 831-859.
  9. 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.
  10. Horst Maximilian & Neyer Ulrike, 2019. "The Impact of Quantitative Easing on Bank Loan Supply and Monetary Policy Implementation in the Euro Area," Review of Economics, De Gruyter, vol. 70(3), pages 229-265, December.
  11. 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.
  12. Mario Di Filippo & Angelo Ranaldo & Jan Wrampelmeyer, 2022. "Unsecured and Secured Funding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 651-662, March.
  13. Vitor Gaspar & Gabriel Pérez Quir? & Hugo Rodr?uez Mendiz?al, 2004. "Interest Rate Determination in the Interbank Market," UFAE and IAE Working Papers 603.04, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  14. Selva Demiralp & Òscar Jordà, 2002. "The announcement effect: evidence from open market desk data," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 29-48.
  15. Fabio Castiglionesi & Fabio Feriozzi & Gyöngyi Lóránth & Loriana Pelizzon, 2014. "Liquidity Coinsurance and Bank Capital," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 409-443, March.
  16. Craig, Ben & Fecht, Falko, 2007. "The eurosystem money market auctions: A banking perspective," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2925-2944, September.
  17. 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.
  18. Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
  19. Link, Thomas & Neyer, Ulrike, 2016. "Transaction Cost Heterogeneity in the Interbank Market and Monetary Policy Implementation under alternative Interest Corridor Systems," VfS Annual Conference 2016 (Augsburg): Demographic Change 145853, Verein für Socialpolitik / German Economic Association.
  20. Eisenbach, Thomas M. & Kovner, Anna & Lee, Michael Junho, 2022. "Cyber risk and the U.S. financial system: A pre-mortem analysis," Journal of Financial Economics, Elsevier, vol. 145(3), pages 802-826.
  21. Aleksander Berentsen & Alessandro Marchesiani & Christopher Waller, 2014. "Floor Systems for Implementing Monetary Policy: Some Unpleasant Fiscal Arithmetic," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 523-542, July.
  22. Horst, Maximilian & Neyer, Ulrike, 2019. "The impact of quantitative easing on bank loan supply and monetary policy implementation in the euro area," DICE Discussion Papers 325, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
  23. Ben R. Craig & Michael Koetter & Ulrich Kruger, 2014. "Interbank Lending and Distress: Observables, Unobservables, and Network Structure," Working Papers (Old Series) 1418, Federal Reserve Bank of Cleveland.
  24. Lucchetta, Marcella, 2015. "Does the bank risk concentration freeze the interbank system?," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 149-166.
  25. 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.
  26. Paolo Angelini, 2008. "Liquidity And Announcement Effects In The Euro Area," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 1-20, March.
  27. Louis-Philippe Rochon & Sergio Rossi, 2011. "Monetary Policy Without Reserve Requirements: Central Bank Money as Means of Final Payment on the Interbank Market," Chapters, in: Claude Gnos & Louis-Philippe Rochon (ed.), Credit, Money and Macroeconomic Policy, chapter 6, Edward Elgar Publishing.
  28. Berentsen, Aleksander & Kraenzlin, Sébastien & Müller, Benjamin, 2018. "Exit strategies for monetary policy," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 20-40.
  29. Heller, Daniel & Lengwiler, Yvan, 2003. "Payment obligations, reserve requirements, and the demand for central bank balances," Journal of Monetary Economics, Elsevier, vol. 50(2), pages 419-432, March.
  30. Michael Woodford, 2001. "Monetary policy in the information economy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 297-370.
  31. Q. Farooq Akram & Casper Christophersen, 2017. "Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(2), pages 165-204, April.
  32. 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.
  33. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2008. "The price of liquidity: bank characteristics and market conditions," Discussion Paper Series 1: Economic Studies 2008,30, Deutsche Bundesbank.
  34. Richard G. Anderson & Robert H. Rasche, 2001. "Retail sweep programs and bank reserves, 1994-1999," Review, Federal Reserve Bank of St. Louis, vol. 83(Jan), pages 51-72.
  35. 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.
  36. Nautz, Dieter & Schmidt, Sandra, 2009. "Monetary policy implementation and the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1274-1284, July.
  37. Burcu Kapar & Giulia Iori & Giampaolo Gabbi & Guido Germano, 2020. "Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 283-331, January.
  38. Uesugi, Iichiro, 2002. "Measuring the Liquidity Effect: The Case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 289-316, September.
  39. 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.
  40. Furfine, Craig, 2002. "The interbank market during a crisis," European Economic Review, Elsevier, vol. 46(4-5), pages 809-820, May.
  41. Adam Ashcraft & Darrell Duffie, 2007. "Over the Counter Search Frictions: A Case Study of the Federal Funds Market," 2007 Meeting Papers 999, Society for Economic Dynamics.
  42. Link, Thomas & Neyer, Ulrike, 2017. "Friction-induced interbank rate volatility under alternative interest corridor systems," DICE Discussion Papers 259, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
  43. 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.
  44. Aleksander Berentsen & Hugo van Buggenum & Romina Ruprecht, 2020. "On the negatives of negative interest rates and the positives of exemption thresholds," ECON - Working Papers 372, Department of Economics - University of Zurich.
  45. Nadja Kamhi, 2006. "LVTS, the Overnight Market, and Monetary Policy," Staff Working Papers 06-15, Bank of Canada.
  46. Klee, Elizabeth, 2010. "Operational outages and aggregate uncertainty in the federal funds market," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2386-2402, October.
  47. William C. Whitesell, 2003. "Tunnels and reserves in monetary policy implementation," Finance and Economics Discussion Series 2003-28, Board of Governors of the Federal Reserve System (U.S.).
  48. Monika Bucher & Achim Hauck & Ulrike Neyer, 2020. "Interbank market friction-induced holdings of precautionary liquidity: implications for bank loan supply and monetary policy implementation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(1), pages 165-222, July.
  49. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
  50. Dieter Nautz & Christian J. Offermanns, 2007. "The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
  51. Cysne, Rubens Penha, 2005. "What happens after the central bank of Brazil increases the target interbank rate by 1%?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 584, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  52. Milton H. Marquis, 2002. "Setting the interest rate," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct11.
  53. Ennis, Huberto M. & Weinberg, John A., 2009. "A model of stigma in the fed funds market," UC3M Working papers. Economics we095937, Universidad Carlos III de Madrid. Departamento de Economía.
  54. Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2008. "Interest rate dispersion and volatility in the market for daily funds," European Economic Review, Elsevier, vol. 52(3), pages 413-440, April.
  55. Richard G. Anderson & Suresh K. Nair, 2005. "A specialized inventory problem in banks: optimizing retail sweeps," Working Papers 2005-023, Federal Reserve Bank of St. Louis.
  56. 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.
  57. Fabio Castiglionesi & Fabio Feriozzi & Gyöngyi Lóránth & Loriana Pelizzon, 2014. "Liquidity Coinsurance and Bank Capital," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 409-443, March.
  58. Selva Demiralp & Òscar Jordà, 2002. "The announcement effect: evidence from open market desk data," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 29-48.
  59. Wiemers, Jürgen & Neyer, Ulrike, 2003. "Why do we have an interbank money market?," IWH Discussion Papers 182/2003, Halle Institute for Economic Research (IWH).
  60. Aleksander Berentsen & Romina Ruprecht & Hugo van Buggenum, 2023. "On the Negatives of Negative Interest Rates," Finance and Economics Discussion Series 2023-064, Board of Governors of the Federal Reserve System (U.S.).
  61. Kahn, Charles M. & Roberds, William, 2009. "Why pay? An introduction to payments economics," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 1-23, January.
  62. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2008. "Liquidity management and overnight rate calendar effects: Evidence from German banks," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 7-21, March.
  63. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: The effects of market conditions and bank characteristics," Journal of Financial Economics, Elsevier, vol. 102(2), pages 344-362.
  64. Todd Keister & Antoine Martin & James J. McAndrews, 2008. "Divorcing money from monetary policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 41-56.
  65. Giuseppe Bruno & Ernesto Maurizio Ordine & Antonio Scalia, 2005. "Banks� participation in the Eurosystem auctions and money market integration," Temi di discussione (Economic working papers) 562, Bank of Italy, Economic Research and International Relations Area.
  66. Rosati, Simonetta & Secola, Stefania, 2006. "Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1753-1782, June.
  67. Selva Demiralp & Oscar Jorda, "undated". "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics 99-06, California Davis - Department of Economics.
  68. Whitesell, William, 2006. "Interest rate corridors and reserves," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1177-1195, September.
  69. Jon H. Findreng, 2021. "Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway," Working Paper 2021/2, Norges Bank.
  70. Hanes, Christopher, 2019. "Explaining the appearance of open-mouth operations in the 1990s U.S," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 682-701.
  71. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
  72. Maddaloni, Giuseppe, 2015. "Liquidity risk and policy options," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 514-527.
  73. Yasuo Nishiyama, 2017. "Open market operations and associated movements of the federal funds rate during the week prior to target changes," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 806-828, October.
  74. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI).
  75. Rosati, Simonetta & Secola, Stefania, 2005. "Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data," Working Paper Series 443, European Central Bank.
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