Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93633
Authors: 
Afonso, Gara
Lagos, Ricardo
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 660
Abstract: 
We present a dynamic over-the-counter model of the fed funds market, and use it to study the determination of the fed funds rate, the volume of loans traded, and the intraday evolution of the distribution of reserve balances across banks. We also investigate the implications of changes in the market structure, as well as the effects of central bank policy instruments such as open market operations, the Discount Window lending rate, and the interest rate on bank reserves.
Subjects: 
Fed funds market
search
bargaining
over-the-counter
JEL: 
G1
C78
D83
E44
Document Type: 
Working Paper

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