TY - JOUR
T1 - Month-End Regularities in the Overnight Bank Funding Markets
AU - Baig, Ahmed S.
AU - Winters, Drew B.
N1 - Publisher Copyright:
© 2021 by the authors.
PY - 2021/5
Y1 - 2021/5
N2 - 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.
AB - 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.
KW - Basel
KW - calendar regularities
KW - federal funds
KW - month-end effect
UR - http://www.scopus.com/inward/record.url?scp=85112537905&partnerID=8YFLogxK
U2 - 10.3390/jrfm14050204
DO - 10.3390/jrfm14050204
M3 - Article
AN - SCOPUS:85112537905
VL - 14
JO - Journal of Risk and Financial Management
JF - Journal of Risk and Financial Management
IS - 5
M1 - 204
ER -