The topology of the federal funds market

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.

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Year of publication:	2008
Authors:	Bech, Morten L. ; Atalay, Enghin
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Geldmarkt \| Unternehmensarchitektur \| Liquidität \| Geldpolitische Transmission \| USA \| interbank \| money market \| network \| topology

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Series:	ECB Working Paper ; 986
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	598033521 [GVK] hdl:10419/153420 [Handle] RePEc:ecb:ecbwps:20080986 [RePEc]
Classification:	E4 - Money and Interest Rates ; E58 - Central Banks and Their Policies ; E59 - Monetary Policy, Central Banking and the Supply of Money and Credit. Other ; G1 - General Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10011605032