EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60975
  
Title:Mapping change in the federal funds market PDF Logo
Authors:Bech, Morten L.
Bergstrom, Carl T.
Garratt, Rodney J.
Rosvall, Martin
Issue Date:2011
Series/Report no.:Staff Report, Federal Reserve Bank of New York 507
Abstract:We use an information-theoretic approach to describe changes in lending relationships between federal funds market participants around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum-likelihood estimation on undirected networks, our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multibank lending cycles) that extend beyond the immediate counterparties. We find that significant changes in lending patterns emerge following implementation of the Interest on Reserves policy by the Federal Reserve on October 9, 2008.
Subjects:federal funds market
lending
payment
networks
clustering
map equation
JEL:E42
E51
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
667314245.pdf305.33 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60975

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.