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

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  • 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.

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Bibliographic Info

Article provided by International Journal of Central Banking in its journal International Journal of Central Banking.

Volume (Year): 6 (2010)
Issue (Month): 3 (September)
Pages: 101-118

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Handle: RePEc:ijc:ijcjou:y:2010:q:3:a:3

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Cited by:
  1. Benjamin Friedman & Kenneth Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Department of Economics Working Papers 2010-03, Department of Economics, Williams College.
  2. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.

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