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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 Afonso & Ricardo Lagos, The over-the-counter theory of the fed funds market: a primer, Federal Reserve Bank of New York, Staff Reports 660, 01 Dec 2014.
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.
- 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
- G1 - Financial Economics - - General Financial Markets
Keywords: Fed funds market; search; bargaining; over-the-counter
This item with handle RePEc:fip:fednsr:660
is also listed on EconPapers
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