Mapping change in the federal funds market
AbstractWe use an information-theoretic approach to describe changes in lending relationships between federal funds market participants around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum-likelihood estimation on undirected networks, our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multibank lending cycles) that extend beyond the immediate counterparties. We find that significant changes in lending patterns emerge following implementation of the Interest on Reserves policy by the Federal Reserve on October 9, 2008.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 507.
Date of creation: 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-05 (All new papers)
- NEP-BAN-2011-09-05 (Banking)
- NEP-CBA-2011-09-05 (Central Banking)
- NEP-MON-2011-09-05 (Monetary Economics)
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