Month-end regularities in the overnight bank funding markets

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...
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Gespeichert in:

Autor*in:	Baig, Ahmed S. [verfasserIn] Winters, Drew B. [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2021

Rechteinformationen:	Open Access Namensnennung 4.0 International ; CC BY 4.0

Schlagwörter:	Basel calendar regularities federal funds month-end effect

Übergeordnetes Werk:	Enthalten in: Journal of risk and financial management - Basel : MDPI, 2008, 14(2021), 5 vom: Mai, Artikel-ID 204, Seite 1-16
Übergeordnetes Werk:	volume:14 ; year:2021 ; number:5 ; month:05 ; elocationid:204 ; pages:1-16

Links:	Link aufrufen Link aufrufen Link aufrufen

DOI / URN:	10.3390/jrfm14050204

Katalog-ID:	1760361224

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allfields	10.3390/jrfm14050204 doi 10419/239620 hdl (DE-627)1760361224 (DE-599)KXP1760361224 DE-627 ger DE-627 rda eng G10 G21 G23 G28 jelc Baig, Ahmed S. verfasserin aut Month-end regularities in the overnight bank funding markets Ahmed S. Baig and Drew B. Winters 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 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. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ Basel (dpeaa)DE-206 calendar regularities (dpeaa)DE-206 federal funds (dpeaa)DE-206 month-end effect (dpeaa)DE-206 Winters, Drew B. verfasserin (DE-588)171468031 (DE-627)061672068 (DE-576)132260077 aut Enthalten in Journal of risk and financial management Basel : MDPI, 2008 14(2021), 5 vom: Mai, Artikel-ID 204, Seite 1-16 Online-Ressource (DE-627)770970427 (DE-600)2739117-6 (DE-576)395129494 1911-8074 nnns volume:14 year:2021 number:5 month:05 elocationid:204 pages:1-16 https://www.mdpi.com/1911-8074/14/5/204/pdf Verlag kostenfrei https://doi.org/10.3390/jrfm14050204 Resolving-System kostenfrei http://hdl.handle.net/10419/239620 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2026 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 14 2021 5 5 204 1-16 26 01 0206 3938007516 x1z 14-06-21 2403 01 DE-LFER 3945665833 00 --%%-- --%%-- n --%%-- l01 06-07-21 2403 01 DE-LFER https://doi.org/10.3390/jrfm14050204 2403 01 DE-LFER https://www.mdpi.com/1911-8074/14/5/204/pdf
spelling	10.3390/jrfm14050204 doi 10419/239620 hdl (DE-627)1760361224 (DE-599)KXP1760361224 DE-627 ger DE-627 rda eng G10 G21 G23 G28 jelc Baig, Ahmed S. verfasserin aut Month-end regularities in the overnight bank funding markets Ahmed S. Baig and Drew B. Winters 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 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. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ Basel (dpeaa)DE-206 calendar regularities (dpeaa)DE-206 federal funds (dpeaa)DE-206 month-end effect (dpeaa)DE-206 Winters, Drew B. verfasserin (DE-588)171468031 (DE-627)061672068 (DE-576)132260077 aut Enthalten in Journal of risk and financial management Basel : MDPI, 2008 14(2021), 5 vom: Mai, Artikel-ID 204, Seite 1-16 Online-Ressource (DE-627)770970427 (DE-600)2739117-6 (DE-576)395129494 1911-8074 nnns volume:14 year:2021 number:5 month:05 elocationid:204 pages:1-16 https://www.mdpi.com/1911-8074/14/5/204/pdf Verlag kostenfrei https://doi.org/10.3390/jrfm14050204 Resolving-System kostenfrei http://hdl.handle.net/10419/239620 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2026 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 14 2021 5 5 204 1-16 26 01 0206 3938007516 x1z 14-06-21 2403 01 DE-LFER 3945665833 00 --%%-- --%%-- n --%%-- l01 06-07-21 2403 01 DE-LFER https://doi.org/10.3390/jrfm14050204 2403 01 DE-LFER https://www.mdpi.com/1911-8074/14/5/204/pdf
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allfieldsSound	10.3390/jrfm14050204 doi 10419/239620 hdl (DE-627)1760361224 (DE-599)KXP1760361224 DE-627 ger DE-627 rda eng G10 G21 G23 G28 jelc Baig, Ahmed S. verfasserin aut Month-end regularities in the overnight bank funding markets Ahmed S. Baig and Drew B. Winters 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 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. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ Basel (dpeaa)DE-206 calendar regularities (dpeaa)DE-206 federal funds (dpeaa)DE-206 month-end effect (dpeaa)DE-206 Winters, Drew B. verfasserin (DE-588)171468031 (DE-627)061672068 (DE-576)132260077 aut Enthalten in Journal of risk and financial management Basel : MDPI, 2008 14(2021), 5 vom: Mai, Artikel-ID 204, Seite 1-16 Online-Ressource (DE-627)770970427 (DE-600)2739117-6 (DE-576)395129494 1911-8074 nnns volume:14 year:2021 number:5 month:05 elocationid:204 pages:1-16 https://www.mdpi.com/1911-8074/14/5/204/pdf Verlag kostenfrei https://doi.org/10.3390/jrfm14050204 Resolving-System kostenfrei http://hdl.handle.net/10419/239620 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2026 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 14 2021 5 5 204 1-16 26 01 0206 3938007516 x1z 14-06-21 2403 01 DE-LFER 3945665833 00 --%%-- --%%-- n --%%-- l01 06-07-21 2403 01 DE-LFER https://doi.org/10.3390/jrfm14050204 2403 01 DE-LFER https://www.mdpi.com/1911-8074/14/5/204/pdf
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title_full	Month-end regularities in the overnight bank funding markets Ahmed S. Baig and Drew B. Winters
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title_sort	month-end regularities in the overnight bank funding markets
title_auth	Month-end regularities in the overnight bank funding markets
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.
abstractGer	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.
abstract_unstemmed	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.
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title_short	Month-end regularities in the overnight bank funding markets
url	https://www.mdpi.com/1911-8074/14/5/204/pdf https://doi.org/10.3390/jrfm14050204 http://hdl.handle.net/10419/239620
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Winters</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2021</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="506" ind1="0" ind2=" "><subfield code="q">DE-206</subfield><subfield code="a">Open Access</subfield><subfield code="e">Controlled Vocabulary for Access Rights</subfield><subfield code="u">http://purl.org/coar/access_right/c_abf2</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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. 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Month-end regularities in the overnight bank funding markets

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