The topology of the federal funds market

Enghin Atalay and Morten Bech (morten.bech@bis.org)

No 354, Staff Reports from Federal Reserve Bank of New York

Abstract: The recent turmoil in global financial markets underscores the importance of the federal funds market as a means of distributing liquidity throughout the financial system and a tool for implementing monetary policy. In this paper, we explore the network topology of the federal funds market. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. In addition, reciprocity loans track the federal funds rate, and centrality measures are useful predictors of the interest rate of a loan.

Keywords: Federal funds market (United States); Monetary policy; Federal funds rate; Liquidity (Economics) (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (37)

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Related works:
Journal Article: The topology of the federal funds market (2010)
Working Paper: The topology of the federal funds market (2008)
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