Modelling Overnight RRP Participation

Alyssa G. Anderson and Jeff W. Huther
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Alyssa G. Anderson: https://www.federalreserve.gov/econres/alyssa-g-anderson.htm

No 2016-023, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We examine how market participants have used the Federal Reserve?s overnight reverse repurchase (ON RRP) exercise and how short-term interest rates have evolved between December 2013 and November 2014. We show that money market fund (MMF) participation is sensitive to the spread between market repo rates and the ON RRP offering rate as well as Treasury bill issuance, government sponsored enterprise (GSE) participation is more heavily driven by calendar effects, dealers tend to only participate when rate spreads are negative, and banks generally do not participate. We also find that the effect of the ON RRP on overnight interest rates is more significant in the collateralized market than the uncollateralized market.

Keywords: Federal Reserve System operations; Monetary policy; federal funds; money market funds; overnight RRP; repurchase agreements (search for similar items in EconPapers)
JEL-codes: E52 E58 G21 G23 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2016-02
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2016-23

DOI: 10.17016/FEDS.2016.023

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