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Month-End Regularities in the Overnight Bank Funding Markets

Ahmed S. Baig () and Drew B. Winters ()
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Ahmed S. Baig: Department of Business Administration and Economics, Saint Mary’s College, Notre Dame, IN 46556, USA
Drew B. Winters: Area of Finance, Rawls College of Business, Texas Tech University, Lubbock, TX 79409, USA

JRFM, 2021, vol. 14, issue 5, 1-16

Abstract: 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.

Keywords: calendar regularities; month-end effect; Basel; federal funds (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
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