The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations
利用美联储准备公开市场操作时的预测误差，识别联邦基金市场每日的流动性效应，发现准备金维持期多数日子存在非线性效应，且银行系统准备金总量影响效应大小。
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. We find a liquidity effect on most days of the reserve maintenance period in addition to settlement day. The effect is nonlinear; large changes in supply more consistently have a measurable effect than do small changes. 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.