An empirical study of trade dynamics in the interbank market
We 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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| Length: | 40 pages |
| Date of creation: | 2012 |
| Date of revision: | 01 Jun 2014 |
| Handle: | RePEc:fip:fednsr:550 |
| Note: | Previous title: “An Empirical Study of Trade Dynamics in the Fed Funds Market” |
| Contact details of provider: | Postal: 33 Liberty Street, New York, NY 10045-0001 Web page: http://www.newyorkfed.org/ Email: More information through EDIRC
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| Order Information: | Web: http://www.ny.frb.org/rmaghome/staff_rp/ Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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