Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60726
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dc.contributor.authorAfonso, Garaen_US
dc.contributor.authorLagos, Ricardoen_US
dc.date.accessioned2012-05-02en_US
dc.date.accessioned2012-08-17T14:31:54Z-
dc.date.available2012-08-17T14:31:54Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60726-
dc.description.abstractWe 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.isoengen_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x550en_US
dc.subject.jelE42en_US
dc.subject.jelE44en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordfed funds marketen_US
dc.subject.keywordfed funds rateen_US
dc.titleAn empirical study of trade dynamics in the fed funds marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn715003755en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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