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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.
Ahmed Baig; Drew Winters. Month-End Regularities in the Overnight Bank Funding Markets. Journal of Risk and Financial Management 2021, 14, 204 .
AMA StyleAhmed Baig, Drew Winters. Month-End Regularities in the Overnight Bank Funding Markets. Journal of Risk and Financial Management. 2021; 14 (5):204.
Chicago/Turabian StyleAhmed Baig; Drew Winters. 2021. "Month-End Regularities in the Overnight Bank Funding Markets." Journal of Risk and Financial Management 14, no. 5: 204.