The Topology of the Federal Funds Market
Morten L. Bech
Federal Reserve Bank of New York
University of Chicago - Department of Economics
December 30, 2008
ECB Working Paper No. 986
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.
Number of Pages in PDF File: 39
Keywords: network, topology, interbank, money market
JEL Classification: E4, E58, E59, G1working papers series
Date posted: February 2, 2009
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