Report
The over-the-counter theory of the fed funds market: a primer
Abstract: We present a dynamic over-the-counter model of the fed funds market, and use it to study the determination of the fed funds rate, the volume of loans traded, and the intraday evolution of the distribution of reserve balances across banks. We also investigate the implications of changes in the market structure, as well as the effects of central bank policy instruments such as open market operations, the Discount Window lending rate, and the interest rate on bank reserves.
Keywords: over-the-counter; bargaining; search; Fed funds market;
JEL Classification: G1; C78; D83; E44;
Access Documents
File(s):
File format is application/pdf
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr660.pdf
Description: Full text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 2014-12-01
Number: 660
Pages: 32 pages
Note: For a published version of this report, see Gara Afonso and Ricardo Lagos, "The Over-the-Counter Theory of the Fed Funds Market: A Primer," Journal of Money, Credit and Banking 47, no. 52 (June 2015): 127-54.