Three Essays on the Federal Funds Market
| dc.contributor.advisor | Ramirez, Carlos D. | |
| dc.creator | Bonis, Brian Joseph | |
| dc.date.accessioned | 2022-08-03T17:13:08Z | |
| dc.date.available | 2022-08-03T17:13:08Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | Economist James D. Hamilton once wrote, “The federal funds market is a good place to start for an understanding of either finance or monetary policy.” In this dissertation, I do a deep dive into the federal funds market and explore how it has evolved since the Great Financial Crisis of 2007-2009 (GFC). Additionally, I investigate changes to Treasury cash management policies and analyze their impacts on taxpayers and the federal funds market. Finally, I advance the federal funds literature by updating Hamilton’s federal funds rate model in his 1997 AER paper with contemporary data, and then I create a new federal funds model to better explain the modern-day federal funds market. In chapter 1, I explore the various characteristics of the federal funds market by carefully defining what constitutes a federal funds trade, explaining how the federal funds rate is calculated, and describing the market participants. Then, I review how the federal funds market operated in the decades leading up to the GFC. I go on to explain how the federal funds market has drastically changed since the GFC and how it operates today. Finally, I describe the origins of the federal funds market and highlight some market dynamics in its first several decades. In chapter 2, I describe the Treasury’s cash management policies both before and after the GFC. This lays the groundwork for a more in-depth discussion where I examine taxpayer funding costs associated with Treasury cash management policies and potential monetary policy implications related to changes in the size of the Treasury General Account. In chapter 3, I advance the federal funds market literature by updating Hamilton’s 1997 federal funds rate model with data from 2018-2019 to show that the liquidity effect he described in his paper no longer exists in the selected time period. Then, I create a new model to reflect policy and market structure changes that have emerged in recent years. | |
| dc.format.extent | 129 pages | |
| dc.format.medium | Dissertation | |
| dc.identifier.uri | https://hdl.handle.net/1920/12916 | |
| dc.language.iso | en | |
| dc.subject.keywords | Economics | |
| dc.subject.keywords | Federal funds market | |
| dc.subject.keywords | Federal Reserve | |
| dc.subject.keywords | Monetary policy | |
| dc.subject.keywords | Money market | |
| dc.subject.keywords | Short-term interest rate | |
| dc.title | Three Essays on the Federal Funds Market | |
| dc.type | Dissertation | |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | George Mason University | |
| thesis.degree.level | Ph.D. | |
| thesis.degree.name | Ph.D. in Economics |
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