The over-the-counter theory of the fed funds market: a primer

Gara Afonso and Ricardo Lagos

No 660, Staff Reports from Federal Reserve Bank of New York

Abstract: 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.

Keywords: over-the-counter; bargaining; search; Fed funds market (search for similar items in EconPapers)
JEL-codes: C78 D83 E44 G1 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2014-12-01
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
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.
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Citations: View citations in EconPapers (2)

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Journal Article: The Over‐the‐Counter Theory of the Fed Funds Market: A Primer (2015)
Working Paper: The Over-the-Counter Theory of the Fed Funds Market: A Primer (2014)
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