An empirical study of trade dynamics in the fed funds market
AbstractWe use minute-by-minute daily transaction-level payments data to document the cross-sectional and time-series behavior of the estimated prices and quantities negotiated by commercial banks in the fed funds market. We study the frequency and volume of trade, the size distribution of loans, the distribution of bilateral fed funds rates, and the intraday dynamics of the reserve balances held by commercial banks. We find evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 550.
Date of creation: 2012
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