The federal funds network and monetary policy transmission: Evidence from the 2007-2009 financial crisis

• 成果类型: Article
• 署名作者: Beltran, Daniel O.; Bolotnyy, Valentin; Klee, Elizabeth
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Stanford University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.12.006
• 发表日期: 2021
• 关键词: NETWORKS; Fedwire; Federal funds; Interbank lending

摘要

Using a network approach, we show how the federal funds market was transformed during the financial crisis through the collapse of the ABCP market in 2007, changes in monetary policy implementation, and an increase in counterparty credit risk. For both aggregate and bank-level network metrics, we find that increases in counterparty and liquidity risk are associated with reduced lending activity within the network. We also provide evidence that network peer effects are strong and influence banks' holdings of reserve balances and rates paid in the federal funds market. Finally, we document how these changes to the network structure dampened the transmission of monetary policy. Published by Elsevier B.V.