Federal funds rate volatility
An examination of the role that monetary policy easings and reduced reserve requirements played in the increased federal funds volatility of late 1990 and early 1991.
Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly patterns of the federal funds rate`s volatility and on its response to changes in target rates and in intervention procedures, such as those implemented by the Federal Reserve in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds.
Removing the hazard of Fedwire daylight overdrafts
An analysis of the potential effects of three recent proposals for pricing Federal Reserve daylight overdrafts, demonstrating that reducing the attendant moral hazard in daylight overdraft credit depends on how, rather than on how much, pricing affects overdrafts, and that this should be a criterion for choosing among the pricing proposals.