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Federal Reserve Bank of Minneapolis
The Over-the-Counter Theory of the Fed Funds Market: A Primer
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.
Cite this item
Gara M. Afonso & Ricardo Lagos, The Over-the-Counter Theory of the Fed Funds Market: A Primer, Federal Reserve Bank of Minneapolis, Working Papers 711, 18 Apr 2014.
- C78 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Bargaining Theory; Matching Theory
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Keywords: Fed funds market; Search; Bargaining; Over-the-counter market
This item with handle RePEc:fip:fedmwp:711
is also listed on EconPapers
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