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Board of Governors of the Federal Reserve System (U.S.)
FEDS Notes
Interest on Reserves and Arbitrage in Post-Crisis Money Markets
Thomas Keating
Marco Macchiavelli
Abstract

In this note, we use confidential, daily data on wholesale unsecured borrowing and reserve balances to empirically document several salient features of IOR arbitrage trades.


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Thomas Keating & Marco Macchiavelli, Interest on Reserves and Arbitrage in Post-Crisis Money Markets, Board of Governors of the Federal Reserve System (U.S.), FEDS Notes 2018-03-01, 01 Mar 2018.
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DOI: 10.17016/2380-7172.2136
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