Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention
By: Leonardo Bartolini, Giuseppe Bertola, Alessandro Prati.
Contributors: Bertola, Giuseppe.; Prati, Alessandro, 1961-; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 109; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 109.
Publisher: Federal Reserve Bank of New York
Published: 2000
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: BANK RESERVES.; INTEREST RATES.; BANKING.; Banks and banking, Central -- United States -- Econometric models.; Bank reserves -- United States -- Econometric models.; Federal Reserve banks -- United States.; Intervention (Federal government) -- United States -- Econometric models.; Interest rates -- United States -- Econometric models.; Transaction costs -- Econometric models.
Genres: Econometric models.
Description: "We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each "reserve maintenance period," when the opportunity cost of holding reserves is typically highest.  We then propose and analyze a model federal funds market where uncertain liquidity flows transaction costs induce banks to delay trading bid up interest rates at end each period.  In this context, central bank's interest-rate-smoothing policy causes high supply liquid be associated with around settlement days"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.