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The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability
4 references·16 citing·42 second hop
The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability (1988)The Micromechanics of the Federal Funds M…A Micro Model of the Federal Funds Market (1985)A Micro Model of the Federal …The money market (1983)The money marketThe Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)Existence of Optimal Simple P…Reserve currency and the volatility of clean energy stocks: The role of uncertainty (2021)Reserve currency and the vola…Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) (2019)Dynamic correlations between …Overnight interbank loan markets (2006)Overnight interbank loan mark…Lending Relationships in the Interbank Market (2005)Lending Relationships in the …Declining required reserves, funds rate volatility, and open market operations (2004)Declining required reserves, …Cross-country differences in monetary policy execution and money market rates’ volatility (2004)Cross-country differences in …A computational model of banks’ optimal reserve management policy (2002)A computational model of bank…The microstructure of the euro money market (2001)The microstructure of the eur…Predicting monetary policy with federal funds futures prices (2001)Predicting monetary policy wi…Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate (2001)Day-to-Day Monetary Policy an…Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention (2001)Banks’ reserve management, tr…Fixed costs and the behavior of the federal funds rate (1999)Fixed costs and the behavior …Volatility transmission along the money market yield curve (1997)Volatility transmission along…Day-of-the-week effects in federal funds rates: Further empirical findings (1995)Day-of-the-week effects in fe…Are US treasury bills underpriced in the primary market? (1992)Are US treasury bills underpr…Bank behavior, interest rate determination, and monetary policy in a financial system with an intraday federal funds market (1991)Bank behavior, interest rate …COMMERCIAL BANK RESERVE MANAGEMENT IN A STOCHASTIC MODEL: IMPLICATIONS FOR MONETARY POLICY (1968)The Daily Market for Federal Funds (1996)The implementation of monetary policy in industrial countries: a survey (1997)The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market (2010)Day of the Week Effects and Asset Returns (1981)Volume and turn-of-the-year behavior (1984)Introduction to stochastic control (1971)MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)Instantaneous Control of Brownian Motion (1983)The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)Stochastic Differential Equations (2006)Sheltering Corporate Assets from Political Extraction (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)Interbank Tiering and Money Center Banks (2010)Relationship Lending in the Interbank Market and the Price of Liquidity (2016)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Hedging Strategies of Green Assets against Dirty Energy Assets (2020)Do oil price changes really matter for clean energy returns? (2021)RETRACTED: Co-movement between dirty and clean energy: A time-frequency perspective (2023)Information, trade and common knowledge (1982)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Market liquidity and volume around earnings announcements (1994)European Banking, Past, Present and Future (2003)Monetary and Financial Integration in the EMU: Push or Pull? (2009)Repo Auctions and the Market for Liquidity (2009)Interest rates and the conduct of monetary policy (1991)Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Timeliness and the Fed’s Daily Tactics (2003)Quarter-End Effects in Banks: Preferred Habitat or Window Dressing? (2006)What Drives China's Interbank Market? (2009)On Persistence in Mutual Fund Performance (1997)Measuring Economic Policy Uncertainty* (2016)How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study (2023)Nonparametric estimation of structural models for high-frequency currency market data (1995)Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market (2000)Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings (2002)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
  • 1983The money market149 cited
  • 1985A Micro Model of the Federal Funds Market145 cited

Cited by

  • 2019Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)150 cited
  • 2001The microstructure of the euro money market93 cited
  • 1995Day-of-the-week effects in federal funds rates: Further empirical findings82 cited
  • 2002A computational model of banks’ optimal reserve management policy78 cited
  • 2001Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention71 cited
  • 2021Reserve currency and the volatility of clean energy stocks: The role of uncertainty62 cited
  • 1991Bank behavior, interest rate determination, and monetary policy in a financial system with an intraday federal funds market56 cited
  • 2005Lending Relationships in the Interbank Market55 cited
  • 1997Volatility transmission along the money market yield curve53 cited
  • 1992Are US treasury bills underpriced in the primary market?50 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006Overnight interbank loan markets48 cited
  • 2001Predicting monetary policy with federal funds futures prices47 cited
  • 1999Fixed costs and the behavior of the federal funds rate45 cited
  • 2004Declining required reserves, funds rate volatility, and open market operations43 cited
  • 2004Cross-country differences in monetary policy execution and money market rates’ volatility42 cited
  • 2001Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate42 cited