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

被引：10

作者：

Afonso, Gara ^{[1
]}

Lagos, Ricardo ^{[2
]}

机构：

[1] Fed Reserve Bank New York, New York, NY 10045 USA

[2] NYU, New York, NY 10003 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2015年 / 47卷

关键词：

federal funds market; search; bargaining; over-the-counter market; MODEL;

D O I：

10.1111/jmcb.12216

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：127 / 154

页数：28

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