Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239620 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 5 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-16
Publisher: 
MDPI, Basel
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.
Subjects: 
Basel
calendar regularities
federal funds
month-end effect
JEL: 
G10
G21
G23
G28
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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