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The Federal funds market and the overnight Eurodollar market

  • Lee, Young-Sook
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-45PTV07-7/2/6f45997c0e4a61541dd6681094894fbe
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 4 (April)
    Pages: 749-771

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:4:p:749-771
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. John Y. Campbell, 1986. "Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week," NBER Working Papers 1806, National Bureau of Economic Research, Inc.
    2. Fung, Hung-Gay & Lo, Wai-Chung, 1995. "An Empirical Examination of the Ex Ante International Interest Rate Transmission," The Financial Review, Eastern Finance Association, vol. 30(1), pages 175-92, February.
    3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. 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.
    5. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
    6. Patric H. Hendershott, 1967. "The Structure Of International Interest Rates: The U.S. Treasury Bill Rate And The Eurodollar Deposit Rate," Journal of Finance, American Finance Association, vol. 22(3), pages 455-465, 09.
    7. Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 7(2), pages 205-24, May.
    8. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
    9. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    10. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 329-343, September.
    11. Fung, Hung-Gay & Isberg, Steven C., 1992. "The international transmission of eurodollar and US interest rates: A cointegration analysis," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 757-769, August.
    12. 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.
    13. 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.
    14. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August.
    15. 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.
    16. Aliber, Robert Z., 1980. "The integration of the offshore and domestic banking system," Journal of Monetary Economics, Elsevier, vol. 6(4), pages 509-526, October.
    17. Kaen, Fred R & Hachey, George A, 1983. "Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 327-38, August.
    18. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
    19. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
    20. Allen, Linda & Saunders, Anthony, 1992. "Bank window dressing: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 585-623, June.
    21. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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