The topology of the federal funds market

Morten Bech () and Enghin Atalay

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 22, 5223-5246

Abstract: We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. Centrality measures are useful predictors of the interest rate of a loan.

Keywords: Network; Topology; Interbank; Money market (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (254)

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Related works:
Working Paper: The topology of the federal funds market (2008)
Working Paper: The topology of the federal funds market (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:22:p:5223-5246

DOI: 10.1016/j.physa.2010.05.058

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