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Morten L. Bech
- 30 December 2008
- WORKING PAPER SERIES - No. 986Details
- Abstract
- We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small world phenomenon and is disassortative. Reciprocity tracks the federal funds rate and centrality measures are useful predictors of the interest rate of a loan.
- JEL Code
- E4 : Macroeconomics and Monetary Economics→Money and Interest Rates
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
E59 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Other
G1 : Financial Economics→General Financial Markets - Network
- ECB workshop on the analysis of the money market