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.
|Date of creation:||2012|
|Date of revision:||01 Jun 2014|
|Note:||Previous title: “An Empirical Study of Trade Dynamics in the Fed Funds Market”|
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- Gara M. Afonso & Anna Kovner & Antoinette Schoar, 2010.
"Stressed, not frozen: the Federal Funds market in the financial crisis,"
437, Federal Reserve Bank of New York.
- Gara Afonso & Anna Kovner & Antoinette Schoar, 2011. "Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis," Journal of Finance, American Finance Association, vol. 66(4), pages 1109-1139, 08.
- Adam B. Ashcraft & James J. McAndrews & David R. Skeie, 2009.
"Precautionary reserves and the interbank market,"
370, Federal Reserve Bank of New York.
- Morten L. Bech & Elizabeth C. Klee, 2010.
"The mechanics of a graceful exit: interest on reserves and segmentation in the federal funds market,"
Finance and Economics Discussion Series
2010-07, Board of Governors of the Federal Reserve System (U.S.).
- Bech, Morten L. & Klee, Elizabeth, 2011. "The mechanics of a graceful exit: Interest on reserves and segmentation in the federal funds market," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 415-431.
- Morten L. Bech & Elizabeth C. Klee, 2009. "The mechanics of a graceful exit: interest on reserves and segmentation in the federal funds market," Staff Reports 416, Federal Reserve Bank of New York.
- Bartolini, Leonardo & Hilton, Spence & McAndrews, James J., 2010.
"Settlement delays in the money market,"
Journal of Banking & Finance,
Elsevier, vol. 34(5), pages 934-945, May.
- William Poole, 1968. "Commercial Bank Reserve Management In A Stochastic Model: Implications For Monetary Policy," Journal of Finance, American Finance Association, vol. 23(5), pages 769-791, December.
- Gara Afonso & Anna Kovner & Antoinette Schoar, 2010. "Stressed not Frozen: The Fed Funds Market in the Financial Crisis," NBER Working Papers 15806, National Bureau of Economic Research, Inc.
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