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An empirical study of trade dynamics in the interbank market

Ricardo Lagos and Gara Afonso ()

No 550, Staff Reports from Federal Reserve Bank of New York

Abstract: We use minute-by-minute daily transaction-level payments data to document the cross-sectional and time-series behavior of the estimated prices and quantities negotiated by commercial banks in the fed funds market. We study the frequency and volume of trade, the size distribution of loans, the distribution of bilateral fed funds rates, and the intraday dynamics of the reserve balances held by commercial banks. We find evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.

Keywords: federal funds rate; federal funds market; monetary policy; interbank markets (search for similar items in EconPapers)
JEL-codes: E44 G21 E42 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2012, Revised 2014-06-01
New Economics Papers: this item is included in nep-mst
Note: Previous title: “An Empirical Study of Trade Dynamics in the Fed Funds Market”
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