The Daily Market for Federal Funds
发现联邦基金利率在两周准备金维持期内并非随机游走，银行对不同工作日持有的准备金并非完全替代，并通过模型将这一现象归因于额度限制、交易成本和周末会计惯例，指出交易成本是美联储每日调整利率的流动性效应的核心。
This paper reports overwhelming evidence against the hypothesis that the federal funds rate follows a martingale over the two-week reserve maintenance period, establishing that banks do not regard reserves held on different days of the week to be perfect substitutes. A theoretical model of the federal funds market is proposed that could account for these empirical regularities as the result of line limits, transaction costs, and weekend accounting conventions. The paper concludes that such transaction costs lie at the heart of the liquidity effect that enables the Federal Reserve to change the interest rate on a daily basis. Copyright 1996 by University of Chicago Press.