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Title:An empirical study of trade dynamics in the fed funds market PDF Logo
Authors:Afonso, Gara
Lagos, Ricardo
Issue Date:2012
Series/Report no.:Staff Report, Federal Reserve Bank of New York 550
Abstract:We use minute-by-minute daily transaction-level payments data to document the crosssectional 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 fi nd evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.
Subjects:monetary policy
fed funds market
fed funds rate
JEL:E42
E44
G21
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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