The topology of the federal funds market

Morten Bech () and Enghin Atalay

No 986, Working Paper Series from European Central Bank

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. Reciprocity tracks the federal funds rate and centrality measures are useful predictors of the interest rate of a loan. JEL Classification: E4, E58, E59, G1

Keywords: interbank; money market; network; topology (search for similar items in EconPapers)
Date: 2008-12
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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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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008986

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