Abstract

  
 

Citations (20)



 
 

Footnotes (21)



 


 



The Topology of the Federal Funds Market


Morten L. Bech


Federal Reserve Bank of New York

Enghin Atalay


University of Chicago - Department of Economics
December 30, 2008

ECB Working Paper No. 986

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.

Number of Pages in PDF File: 39

Keywords: network, topology, interbank, money market

JEL Classification: E4, E58, E59, G1

working papers series


Download This Paper

Date posted: February 2, 2009  

Suggested Citation

Bech, Morten L. and Atalay, Enghin, The Topology of the Federal Funds Market (December 30, 2008). ECB Working Paper No. 986. Available at SSRN: http://ssrn.com/abstract=1310645

Contact Information

Morten L. Bech (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
Enghin Atalay
University of Chicago - Department of Economics ( email )
1126 East 59th Street
Chicago, IL 60637
United States
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 1,151
Downloads: 154
Download Rank: 42,991
Citations:  20
Footnotes:  21

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo6 in 0.625 seconds