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Month-End Regularities in the Overnight Bank Funding Markets

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Listed:
  • Ahmed S. Baig

    (Department of Business Administration and Economics, Saint Mary’s College, Notre Dame, IN 46556, USA)

  • Drew B. Winters

    (Area of Finance, Rawls College of Business, Texas Tech University, Lubbock, TX 79409, USA)

Abstract

The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns of decreased volatility along with consistent and significant month-end rate drops in the fed fund rates. Our findings suggest that short-term liquidity requirements of the Basel III reforms are, in part, responsible for the regularity in fed funds.

Suggested Citation

  • 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.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:204-:d:548295
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    References listed on IDEAS

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