Interest on Reserves and Arbitrage in Post-Crisis Money Markets

Thomas Keating and Marco Macchiavelli

No 2018-03-01-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we use confidential, daily data on wholesale unsecured borrowing and reserve balances to empirically document several salient features of IOR arbitrage trades.

Date: 2018-03-01
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2018-03-01-1

DOI: 10.17016/2380-7172.2136

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