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Author:Hilton, R. Spence 

Money market integration

We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous research indicating that these two markets are segmented, showing them to be well integrated even at high (intraday) frequency. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume on yield spreads' volatility. Our ...
Staff Reports , Paper 227

Reserve levels and intraday federal funds rate behavior

We analyze the impact of aggregate reserve levels on the intraday behavior of the federal funds rate over a sample period extending from 2002 to 2005. We study both how the reserve levels accumulated earlier in a maintenance period influence the morning level of the funds rate relative to the target set by the FOMC, and how same-day reserve levels as well as the reserve levels accumulated earlier affect intraday movements of the funds rate. The impact of recurring calendar events on the behavior of the federal funds rate is also explored. In general, we find a negative relationship between ...
Staff Reports , Paper 284

Settlement delays in the money market

We track 38,000 money market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find that banks follow a simple strategy to manage the risk of account overdrafts - delaying the settlement of large payments relative to that of small payments. More sophisticated strategies, such as increasing settlement delays when own liquid ...
Staff Reports , Paper 319

Journal Article
Capacity constraints and the prospects for external adjustment and economic growth: 1989-90

Quarterly Review , Volume 13 , Issue Win

Domestic open market operations during 1997

Annual Report Domestic Open Market Operations

Journal Article
Trends in federal funds rate volatility

The behavior of the fed funds rate-a key monetary policy target and a benchmark for short-term interest rates-is closely watched by many market participants. After a decade marked by periodic bouts of high volatility in the funds rate, volatility has declined sharply since 2001. An analysis of the major factors influencing the rate's behavior shows that some of the forces behind the current fall in volatility first emerged in response to the earlier increases.
Current Issues in Economics and Finance , Volume 11 , Issue Jul

Domestic open market operations during 2000

Annual Report Domestic Open Market Operations

Journal Article
Monetary policy and open market operations during 1994

Federal Reserve Bulletin , Issue Jun , Pages 570-584

Domestic open market operations during 1998

Annual Report Domestic Open Market Operations

Journal Article
Open market operations during 1997

In 1997 the Trading Desk at the Federal Reserve Bank of New York managed reserve conditions with the objective of maintaining the federal funds rate around the level desired by the Federal Open Market Committee. In 1997 the portfolio of domestic securities in the System Open Market Account expanded by a record $41 billion (excluding all temporary operations), ending the year at $448 billion. Outright purchases of Treasury securities totaled $44 billion, offset to a small degree by redemptions of some Treasury and federal agency issues. The growth in the portfolio during 1997 was significantly ...
Federal Reserve Bulletin , Issue Jul


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