Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60744
Authors: 
Bech, Morten L.
Atalay, Enghin
Year of Publication: 
2008
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 354
Abstract: 
The recent turmoil in global financial markets underscores the importance of the federal funds market as a means of distributing liquidity throughout the financial system and a tool for implementing monetary policy. In this paper, we explore the network topology of the federal funds market. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. In addition, reciprocity loans track the federal funds rate, and centrality measures are useful predictors of the interest rate of a loan.
Subjects: 
Federal funds
network
topology
interbank
money markets
JEL: 
E40
E58
E59
G10
Document Type: 
Working Paper

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