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The topology of the federal funds market

  • Bech, Morten L.
  • Atalay, Enghin

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. Centrality measures are useful predictors of the interest rate of a loan.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437110004887
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 389 (2010)
Issue (Month): 22 ()
Pages: 5223-5246

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Handle: RePEc:eee:phsmap:v:389:y:2010:i:22:p:5223-5246
DOI: 10.1016/j.physa.2010.05.058
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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