Working Paper 708

Back to Publication

An Empirical Study of Trade Dynamics in the Fed Funds Market

Gara Afonso
Ricardo Lagos

Published March 17, 2014

Abstract
We use minute-by-minute daily transaction-level payments data to document the cross-sectional 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 find evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.


Download Paper (PDF)

 
Latest Articles