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Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years

Ruth A. Judson and Elizabeth Klee
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Ruth A. Judson: https://www.federalreserve.gov/econres/ruth-a-judson.htm

No 2009-25, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the day of the maintenance period. In this paper, we examine the data over the recent period of increased Federal Reserve transparency and find that the liquidity effect stabilized across days of the maintenance period. Rather, the liquidity effect may be a function of the uncertainty about banks' end-of-day balances. Moreover, we find that increased transparency led to a larger liquidity effect on the days prior to an FOMC meeting.

Keywords: Open market operations; Federal funds market (United States) (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-mon and nep-mst
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Citations: View citations in EconPapers (1)

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Journal Article: Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years (2010) Downloads
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