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Federal Reserve Bank of New York
An empirical study of trade dynamics in the interbank market
We use minute-by-minute daily transaction-level payments data to document the cross-sectional and time-series behavior of the estimated prices and quantities negotiated by commercial banks in the fed funds market. We study the frequency and volume of trade, the size distribution of loans, the distribution of bilateral fed funds rates, and the intraday dynamics of the reserve balances held by commercial banks. We find evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.
Cite this item
Gara Afonso & Ricardo Lagos, An empirical study of trade dynamics in the interbank market, Federal Reserve Bank of New York, Staff Reports 550, 2012, revised 01 Jun 2014.
Note: Previous title: “An Empirical Study of Trade Dynamics in the Fed Funds Market”
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Keywords: monetary policy; federal funds market; federal funds rate; interbank markets
This item with handle RePEc:fip:fednsr:550
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