Trade Dynamics in the Market for Federal Funds

Ricardo Lagos and Gara Afonso
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Gara Afonso: Federal Reserve Bank of New York

No 424, 2010 Meeting Papers from Society for Economic Dynamics

Abstract: We develop a search model of the federal funds market and show that, at each point along the trading session, rates are increasing in the penalty for reserve deficiencies, decreasing in the borrower's bargaining power, and when there are more (less) lenders than borrowers, also decreasing (increasing) in the frequency of meetings. We also study the conditions that shape the time path of the fed funds rate throughout a trading session, and identify the factors that can cause rates to rise or to fall with the time remaining until the end of the trading day.

Date: 2010
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Related works:
Working Paper: Trade Dynamics in the Market for Federal Funds (2014)
Working Paper: Trade Dynamics in the Market for Federal Funds (2014)
Working Paper: Trade dynamics in the market for federal funds (2012)
Working Paper: Trade Dynamics in the Market for Federal Funds (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed010:424

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