| Article ID: | iaor201522761 |
| Volume: | 7 |
| Issue: | 1 |
| Start Page Number: | 47 |
| End Page Number: | 56 |
| Publication Date: | Mar 1984 |
| Journal: | Journal of Financial Research |
| Authors: | Eisemann Peter C, Timme Stephen G |
| Keywords: | investment, government, statistics: empirical, risk |
This paper examines daily Federal funds interest rates for intraweek seasonality over the period 1966 through June 1982. Seasonals are identified using several techniques and are found to vary over time in both intensity and relative size. Furthermore, seasonality is not limited to a Wednesday effect. The seasonals are used to test the effectiveness of active reserve management based on seasonal rate forecasts. The results indicate that extraordinary risk‐adjusted profits are not likely.