The Over‐the‐Counter Theory of the Fed Funds Market: A Primer

Gara Afonso and Ricardo Lagos

Journal of Money, Credit and Banking, 2015, vol. 47, issue S2, 127-154

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.

Date: 2015
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/jmcb.12216

Related works:
Working Paper: The Over-the-Counter Theory of the Fed Funds Market: A Primer (2014)
Working Paper: The over-the-counter theory of the fed funds market: a primer (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:47:y:2015:i:s2:p:127-154

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