Creator: Afonso, Gara and Lagos, Ricardo Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 708 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.
Keyword: Federal funds rates, Monetary policy, and Federal funds market Subject (JEL): E44 - Financial Markets and the Macroeconomy, G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages, and E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems