The topology of the federal funds market

Morten L. Bech () and Enghin Atalay

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); Liquidity (Economics); Monetary policy; Federal funds rate (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2008
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Working Paper: The topology of the federal funds market (2008)
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