Publication: The liquidity effect in the federal funds market: Evidence from daily open market operations
Program
KU-Authors
KU Authors
Co-Authors
Carpenter, Seth
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
Abstract
We use forecast errors made by the Federal Reserve while preparing open market operations to identify a liquidity effect at a daily frequency in the federal funds market. We find a liquidity effect on most days of the reserve maintenance period in addition to settlement day. The effect is nonlinear; large changes in supply more consistently have a measurable effect than do small changes. In addition, a higher aggregate level of reserve balances in the banking system is associated with a smaller liquidity effect during the maintenance period but a larger liquidity effect on the last days of the period.
Source
Publisher
Wiley-Blackwell
Subject
Business, Finance, Economics
Citation
Has Part
Source
Journal of Money Credit and Banking
Book Series Title
Edition
DOI
10.1353/mcb.2006.0051