The Topology of the Federal Funds Market

39 Pages Posted: 2 Feb 2009

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: December 30, 2008

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.

Keywords: network, topology, interbank, money market

JEL Classification: E4, E58, E59, G1

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: https://ssrn.com/abstract=1310645

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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