Overnight Reverse Repurchase (ON RRP) Operations and Uncertainty in the Repo Market

Posted: 16 Oct 2017

See all articles by Zeynep Senyuz

Zeynep Senyuz

Board of Governors of the Federal Reserve System

Manjola Tase

Board of Governors of the Federal Reserve System

Date Written: October 19, 2017

Abstract

In this note, we analyze the effects of the ON RRP operations on daily repo rate uncertainty--based on revisions to the repo rate forecast--and intraday repo rate volatility.

Suggested Citation

Senyuz, Zeynep and Tase, Manjola, Overnight Reverse Repurchase (ON RRP) Operations and Uncertainty in the Repo Market (October 19, 2017). FEDS Notes No. 2017-10-19-2 https://doi.org/10.17016/2380-7172.2069, Available at SSRN: https://ssrn.com/abstract=3713429

Zeynep Senyuz (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Manjola Tase

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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