Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93646
Authors: 
Kovner, Anna
Skeie, David
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 629
Abstract: 
A number of empirical analyses of interbank lending rely on indirect inferences from individual interbank transactions extracted from payments data using algorithms. In this paper, we conduct an evaluation to assess the ability of identifying overnight U.S. fed funds activity from Fedwire® payments data. We find evidence that the estimates extracted from the data are statistically significantly correlated with banks' fed funds borrowing as reported on the FRY-9C. We find similar associations for fed funds lending, although the correlations are lower. To be conservative, we believe that the estimates are best interpreted as measures of overnight interbank activity rather than fed funds activity specifically. We also compare the estimates provided by Armantier and Copeland (2012) to the Y-9C fed funds amounts.
Subjects: 
federal funds market
data quality
interbank loans
fed funds
Fedwire
Y-9C
JEL: 
G21
C81
E40
Document Type: 
Working Paper

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