Title: The liquidity effect in the federal funds market
Description: "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.  Unlike Hamilton (1997), we find a liquidity effect on many days of the reserve maintenance period besides settlement day.  The effect is non-linear; large changes in supply have a measurable effect, but small changes do not.  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"--Federal Reserve Board web site.