Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60614 
Year of Publication: 
2000
Series/Report no.: 
Staff Report No. 109
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each reserve maintenance period, when the opportunity cost of holding reserves is typically highest. We then propose and analyze a model federal funds market where uncertain liquidity flows transaction costs induce banks to delay trading bid up interest rates at end each period. In this context, central bank's interest-rate-smoothing policy causes high supply liquid be associated with around settlement days.
JEL: 
G21
E52
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.