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Over the Counter Search Frictions: A Case Study of the Federal Funds Market

Author

Listed:
  • Adam Ashcraft

    ((Federal Reserve Bank of NY))

  • Darrell Duffie

    ((Stanford GSB))

Abstract

their past trading volumes). Our results are consistent with the thrust of search-based OTC financial market theory.

Suggested Citation

  • Adam Ashcraft & Darrell Duffie, 2007. "Over the Counter Search Frictions: A Case Study of the Federal Funds Market," 2007 Meeting Papers 999, Society for Economic Dynamics.
  • Handle: RePEc:red:sed007:999
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    References listed on IDEAS

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    1. James J. McAndrews & Simon M. Potter, 2002. "Liquidity effects of the events of September 11, 2001," Economic Policy Review, Federal Reserve Bank of New York, issue Nov, pages 59-79.
    2. Lacker, Jeffrey M., 2004. "Payment system disruptions and the federal reserve following September 11, 2001," Journal of Monetary Economics, Elsevier, vol. 51(5), pages 935-965, July.
    3. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
    4. Furfine, Craig H., 2000. "Interbank payments and the daily federal funds rate," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 535-553, October.
    5. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
    6. Furfine, Craig H, 2001. "Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market," The Journal of Business, University of Chicago Press, vol. 74(1), pages 33-57, January.
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