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Day-of-the-week effects in federal funds rates: Further empirical findings

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Author Info
Griffiths, Mark D.
Winters, Drew B.
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 19 (1995)
Issue (Month): 7 (October)
Pages: 1265-1284
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Handle: RePEc:eee:jbfina:v:19:y:1995:i:7:p:1265-1284

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  1. Craig 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.). [Downloadable!]
  2. 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. [Downloadable!]
  3. 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. [Downloadable!]
    Other versions:
  4. 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. [Downloadable!]
  5. Selva Demiralp & Brian Preslopsky & William Whitesell, 2004. "Overnight interbank loan markets," Finance and Economics Discussion Series 2004-29, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  6. Ken B. Cyree & Mark D. Griffiths & Drew B. Winters, 2003. "On the pervasive effects of Federal Reserve settlement regulations," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 27-46. [Downloadable!]
  7. 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. [Downloadable!]
    Other versions:
  8. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer, vol. 29(1), pages 61-82, February. [Downloadable!] (restricted)
  9. Claudio Morana & Nuno Cassola, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank. [Downloadable!]
  10. R. Spence Hilton & Alessandro Prati & Leonardo Bartolini, 2006. "Money Market Integration," IMF Working Papers 06/207, International Monetary Fund. [Downloadable!]
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  11. Doug Rolph, 1999. "Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy," Computing in Economics and Finance 1999 853, Society for Computational Economics. [Downloadable!]
  12. 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 Department. [Downloadable!]
  13. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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