The Topology of the Federal Funds Market

32 Pages Posted: 12 Nov 2008

See all articles by Morten L. Bech

Morten L. Bech

Bank for International Settlements (BIS) - Committee on Payments and Market Infrastructures

Enghin Atalay

University of Chicago - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: November 2008

Abstract

The recent turmoil in global financial markets underscores the importance of the federal funds market as a means of distributing liquidity throughout the financial system and a tool for implementing monetary policy. In this paper, we explore the network topology of the federal funds market. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. In addition, reciprocity loans track the federal funds rate, and centrality measures are useful predictors of the interest rate of a loan.

Keywords: federal funds, network, topology, interbank, money markets

JEL Classification: E40, E58, E59, G10

Suggested Citation

Bech, Morten L. and Atalay, Enghin, The Topology of the Federal Funds Market (November 2008). FRB of New York Staff Report No. 354, Available at SSRN: https://ssrn.com/abstract=1299021 or http://dx.doi.org/10.2139/ssrn.1299021

Morten L. Bech (Contact Author)

Bank for International Settlements (BIS) - Committee on Payments and Market Infrastructures ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland
41612808923 (Phone)

Enghin Atalay

University of Chicago - Department of Economics ( email )

1126 East 59th Street
Chicago, IL 60637
United States

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