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The impact of the return to lagged reserve requirements on the federal funds market

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  • Kotomin, Vladimir
  • Winters, Drew B.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 59 (2007)
    Issue (Month): 2 ()
    Pages: 111-129

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    Handle: RePEc:eee:jebusi:v:59:y:2007:i:2:p:111-129

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    Web page: http://www.elsevier.com/locate/jeconbus

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    1. Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-47, May.
    2. Diana Hancock & James A. Wilcox, 1996. "Intraday management of bank reserves: the effects of caps and fees on daylight overdrafts," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 870-913.
    3. Cyree, Ken B & Winters, Drew B, 2001. "Analysis of Federal Funds Rate Changes and Variance Patterns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 24(3), pages 403-18, Fall.
    4. Giuseppe Bertola & Leonardo Bartolini & Alessandro Prati, 2000. "Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," IMF Working Papers 00/163, International Monetary Fund.
    5. Saunders, Anthony & Urich, Thomas, 1988. "The effects of shifts in monetary policy and reserve accounting regimes on bank reserve management behavior in the federal funds market," Journal of Banking & Finance, Elsevier, vol. 12(4), pages 523-535, December.
    6. 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.
    7. Spindt, Paul A. & Hoffmeister, J. Ronald, 1988. "The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 401-416, December.
    8. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    9. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832.
    10. Cyree, Ken B & Winters, Drew B, 2001. "An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse-J Pattern," The Journal of Business, University of Chicago Press, vol. 74(4), pages 535-56, October.
    11. 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.
    12. 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.
    13. 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.
    14. Hancock, Diana & Wilcox, James A, 1996. "Intraday Management of Bank Reserves: The Effects of Caps and Fees on Daylight Overdrafts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 870-908, November.
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    Cited by:
    1. Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
    2. 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.
    3. 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.
    4. Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010. "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, vol. 7(2), pages 103-109, June.

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