An Empirical Study of Trade Dynamics in the Fed Funds Market

Gara Afonso and Ricardo Lagos

No 708, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: 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.

Keywords: Monetary policy; Federal funds market; federal funds rates (search for similar items in EconPapers)
JEL-codes: E42 E44 G21 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2014-03-17
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-mon
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmwp:708

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