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Staff Reports, Federal Reserve Bank of New York >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60726
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Afonso, Gara | | en_US |
| dc.contributor.author | | Lagos, Ricardo | | en_US |
| dc.date.accessioned | | 2012-05-02 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:31:54Z | | - |
| dc.date.available | | 2012-08-17T14:31:54Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60726 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 550 | | en_US |
| dc.subject.jel | | E42 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | monetary policy | | en_US |
| dc.subject.keyword | | fed funds market | | en_US |
| dc.subject.keyword | | fed funds rate | | en_US |
| dc.title | | An empirical study of trade dynamics in the fed funds market | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 715003755 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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