The Federal funds market and the overnight Eurodollar market

Journal of Banking and Finance

Volumn 27, Issue 4, 2003, Pages 749-771

  Lee, Young Sook ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Calendar day effect; Fed funds rate; Federal Reserve regulations; Overnight Eurodollar rate

Indexed keywords

EID: 0037375123     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00238-8     Document Type: Article

References (29)

1. Aliber, R.Z., 1980. The integration of the offshore and domestic banking system. Journal of Monetary Economics 6, 509-526.
2. Allen, L., Saunders, A., 1992. Bank window dressing: Theory and evidence. Journal of Banking and Finance 16, 585-623.
3. Campbell, J.Y., 1987. Money announcements, the demand for bank reserves, and the behavior of the federal funds rate within the statement week. Journal of Money, Credit and Banking 19, 56-67.
4. Canova, F., Marrinan, J., 1995. Predicting excess returns in financial markets. European Economic Review 39, 35-69.
5. Fama, E., 1965. The behavior of stock market prices. Journal of Business 28, 34-105.
6. Flannery, M.J., Protopapadakis, A.A., 1988. From T-bills to common stocks: Investigating the generality of intra-week return seasonality. Journal of Finance 43, 431-450.
7. French, K., 1980. Stock returns and the weekend effect. Journal of Financial Economics 8, 55-69.
8. Fung, H.-G., Isberg, S.C., 1992. The international transmission of Eurodollar and US interest rates: A cointegration analysis. Journal of Banking and Finance 16, 757-769.
9. Fung, H.-G., Lo, W.-C., 1995. An empirical examination of the ex ante international interest rate transmission. The Financial Review 30 (1), 175-192.
10. Gibbons, M., Hess, P., 1981. Day of the week effects and asset returns. Journal of Business 54, 579-596.
11. Griffiths, M.D., Winters, D.B., 1995. Day-of-the-week effects in federal funds rates: Further empirical findings. Journal of Banking and Finance 19, 1265-1284.
12. Griffiths, M.D., Winters, D.B., 1997. On a preferred habitat for liquidity at the turn-of-the-year: Evidence from the term-repo market. Journal of Financial Services Research 12(1), 21-38.
13. Hamilton, J.D., 1996. The daily market for federal funds. Journal of Political Economy 104 (1), 22-56.
14. Harris, L., 1986. A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics 16, 99-117.
15. Hendershott, P.H., 1967. The structure of international interest rates: The US treasury bill rate and the Eurodollar deposit rate. Journal of Finance 22, 455-465.
16. Kaen, F.R., Hachey, G.A., 1983. Eurocurrency and national money market interest rates. Journal of Money, Credit and Banking 15, 327-338.
17. Kamath, R., Whyte, A.M., Chatrath, A., Chaudhry, M., 1995. Daily seasonals in the Eurocurrency market. American Business Review 1, 1-7.
18. Kwack, S.Y., 1971. The structure of international interest rates: An extension of Hendershott's tests. Journal of Finance 26, 205-224.
19. Lakonishok, J., Maberly, E., 1990. The weekend effect: Trading patterns of individuals and institutional investors. Journal of Finance 45, 231-243.
20. Levin, J.H., 1974. The Eurodollar market and the international transmission of interest rates. Canadian Journal of Economics 7, 205-224.
21. Lo, A., MacKinlay, C., 1988. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1, 41-66.
22. Musto, D., 1997. Portfolio disclosures and year-end price shifts. Journal of Finance 52, 1563-1588.
23. Nelson, D., 1991. Conditional heteroskedasticity in asset return: A new approach. Econometrica 59 (2), 347-370.
24. Ogden, J.P., 1987. The end of the month as a preferred habitat: A test of operational efficiency in the money market. Journal of Financial and Quantitative Analysis 22 (3), 329-344.
25. Reinhart, V., Harmon, R., 1987. The information structure of the overnight market. Manuscript.
26. Saunders, A., Urich, T., 1988. The effects of shifts in monetary policy and reserve accounting regimes on bank reserve management behavior in the federal funds market. Journal of Banking and Finance 12, 523-535.
27. Scholes, M., Williams, J., 1997. Estimating betas from nonsynchronous data. Journal of Financial Economics 5, 309-327.
28. Spindt, P.A., Hoffmeister, J.R., 1988. The micromechanics of the federal funds market: Implications for day-of-the-week effects in funds rate variability. Journal of Financial and Quantitative Analysis 23 (3), 401-416.
29. Stigum, M., 1990. The Money Market. Irwin Professional Publishing, New York.