Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60726 
Year of Publication: 
2012
Series/Report no.: 
Staff Report No. 550
Publisher: 
Federal Reserve Bank of New York, New York, NY
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

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