The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior

Spence Hilton and Warren Hrung
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Spence Hilton: Federal Reserve Bank of New York

International Journal of Central Banking, 2010, vol. 6, issue 3, 101-118

Abstract: We analyze the impact that reserve levels accumulated through the preceding day in a reserve maintenance period have on the level of the federal funds rate each morning prior to when open-market operations are arranged. Our empirical results and other evidence provided about intraday patterns of the federal funds rate demonstrate that the pace at which reserves are supplied over a maintenance period to meet banks’ total reserve requirements is an important determinant of federal funds rate behavior.

JEL-codes: E5 G21 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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