The Over-the-Counter Theory of the Fed Funds Market: A Primer

Gara Afonso; Ricardo Lagos

doi:10.1111/jmcb.12216

The Over-the-Counter Theory of the Fed Funds Market: A Primer

Gara Afonso, Ricardo Lagos

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	127-154
Number of pages	28
Journal	Journal of Money, Credit and Banking
Volume	47
Issue number	S2
DOIs	https://doi.org/10.1111/jmcb.12216
State	Published - Jun 1 2015

Keywords

Bargaining
Federal funds market
Over-the-counter market
Search

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1111/jmcb.12216

Cite this

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The Over-the-Counter Theory of the Fed Funds Market: A Primer

Abstract

Keywords

ASJC Scopus subject areas

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