Month-end regularities in the overnight bank funding markets

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...

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Veröffentlicht in:	Journal of risk and financial management 2021-05, Vol.14 (5), p.1-16
Hauptverfasser:	Baig, Ahmed S, Winters, Drew B
Format:	Artikel
Sprache:	eng
Schlagworte:	Bank reserves Basel calendar regularities Calendars Collateral Economic crisis Federal funding federal funds Federal Reserve monetary policy Habitats Hypotheses Money market instruments month-end effect Regulation of financial institutions Reserve requirements Treasury bills Volatility
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