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The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability

Citations

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Cited by:

  1. Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
  2. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2009. "Optimal allotment policy in central bank open market operations," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 405-420.
  3. 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.
  4. C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.
  5. Baris Kocaarslan & Ugur Soytas, 2021. "The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis," Sustainability, MDPI, vol. 13(4), pages 1-12, February.
  6. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The microstructure of the euro money market," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
  7. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
  8. 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.
  9. Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
  10. David Eagle, 1995. "Federal‐funds‐rate volatility and the reserve‐maintenance period," Review of Financial Economics, John Wiley & Sons, vol. 4(2), pages 157-170, March.
  11. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
  12. R. Baupain & A. Durre, 2007. "The interday and intraday patterns of the overnight market : evidence from an electronic platform," Post-Print hal-00300195, HAL.
  13. James P. Dow, 2001. "The Demand for Excess Reserves," Southern Economic Journal, John Wiley & Sons, vol. 67(3), pages 685-700, January.
  14. Ozgur (Ozzy) Akay & Mark D. Griffiths & Drew B. Winters, 2010. "On The Robustness Of Range‐Based Volatility Estimators," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 179-199, June.
  15. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001. "Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1287-1317, July.
  16. Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003. "The overnight interbank market: Evidence from the G-7 and the Euro zone," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2045-2083, October.
  17. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden).
  18. Michael Woodford, 2002. "Financial market efficiency and the effectiveness of monetary policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 85-94.
  19. Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006. "Overnight interbank loan markets," Journal of Economics and Business, Elsevier, vol. 58(1), pages 67-83.
  20. Baris Kocaarslan & Ugur Soytas, 2025. "How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 2016-2041, April.
  21. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
  22. Andrew H. Chen & Sumon C. Mazumdar, 1995. "Interest rate linkages within the EMS and bank credit supply," European Financial Management, European Financial Management Association, vol. 1(1), pages 37-48, March.
  23. Kocaarslan, Baris & Soytas, Ugur, 2019. "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)," Energy Economics, Elsevier, vol. 84(C).
  24. Tapking, Jens, 2006. "Multiple equilibrium overnight rates in a dynamic interbank market game," Games and Economic Behavior, Elsevier, vol. 56(2), pages 350-370, August.
  25. Bindseil, Ulrich & Nyborg, Kjell G., 2007. "Monetary policy implementation: A European Perspective," Discussion Papers 2007/10, Norwegian School of Economics, Department of Business and Management Science.
  26. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
  27. Kocaarslan, Baris & Soytas, Ugur, 2023. "The role of major markets in predicting the U.S. municipal green bond market performance: New evidence from machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
  28. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002. "Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 137-159, February.
  29. Furfine, Craig H, 2001. "Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market," The Journal of Business, University of Chicago Press, vol. 74(1), pages 33-57, January.
  30. Michael Woodford, 2001. "Monetary policy in the information economy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 297-370.
  31. Clouse, James A. & Dow Jr., James P., 1999. "Fixed costs and the behavior of the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1015-1029, July.
  32. Angelo Baglioni, 2012. "Liquidity Crunch in the Interbank Market: Is it Credit or Liquidity Risk, or Both?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 1-18, April.
  33. Mark D. Griffiths & Drew B. Winters, 1996. "The Relation Between The Federal Funds Cash And Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 359-376, September.
  34. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
  35. C. H. Furfine, 1999. "The pricing of bank lending and borrowing: evidence from the federal funds market," BIS Working Papers 62, Bank for International Settlements.
  36. Quiros, Gabriel Perez & Mendizabal, Hugo Rodriguez, 2006. "The Daily Market for Funds in Europe: What Has Changed with the EMU?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 91-118, February.
  37. Demiralp, Selva & Farley, Dennis, 2005. "Declining required reserves, funds rate volatility, and open market operations," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1131-1152, May.
  38. Luis A. Ahumada & Álvaro García & Luis Opazo & Jorge Selaive, 2009. "Interbank Rate and the Liquidity of the Market," Working Papers Central Bank of Chile 516, Central Bank of Chile.
  39. Haydn Davies, 1998. "Averaging in a framework of zero reserve requirements: implications for the operation of monetary policy," Bank of England working papers 84, Bank of England.
  40. 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.
  41. Craig H. 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.).
  42. Cocco, João F. & Gomes, Francisco J. & Martins, Nuno C., 2009. "Lending relationships in the interbank market," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 24-48, January.
  43. Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 197, European Central Bank.
  44. Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
  45. James A. Clouse & Douglas W. Elmendorf, 1997. "Declining required reserves and the volatility of the federal funds rate," Finance and Economics Discussion Series 1997-30, Board of Governors of the Federal Reserve System (U.S.).
  46. Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas, 2016. "Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets," Finance and Economics Discussion Series 2016-084, Board of Governors of the Federal Reserve System (U.S.).
  47. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
  48. Kotomin, Vladimir & Winters, Drew B., 2007. "The impact of the return to lagged reserve requirements on the federal funds market," Journal of Economics and Business, Elsevier, vol. 59(2), pages 111-129.
  49. Christopher S. Sutherland, 2017. "What Explains Month-End Funding Pressure in Canada?," Discussion Papers 17-9, Bank of Canada.
  50. Kocaarslan, Baris & Mushtaq, Rizwan, 2024. "The impact of liquidity conditions on the time-varying link between U.S. municipal green bonds and major risky markets during the COVID-19 crisis: A machine learning approach," Energy Policy, Elsevier, vol. 184(C).
  51. Ken B. Cyree & Drew B. Winters, 2001. "Analysis Of Federal Funds Rate Changes And Variance Patterns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 403-418, September.
  52. 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.
  53. Eagle, David, 1995. "Federal-funds-rate volatility and the reserve-maintenance period," Review of Financial Economics, Elsevier, vol. 4(2), pages 157-170.
  54. Furfine, Craig H., 2000. "Interbank payments and the daily federal funds rate," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 535-553, October.
  55. 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.
  56. 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.
  57. Kocaarslan, Baris & Soytas, Ugur, 2021. "Reserve currency and the volatility of clean energy stocks: The role of uncertainty," Energy Economics, Elsevier, vol. 104(C).
  58. Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 508-520, September.
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