TRADE DYNAMICS IN THE MARKET FOR FEDERAL FUNDS

• 成果类型: Article
• 署名作者: Afonso, Gara; Lagos, Ricardo
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10586
• 发表日期: 2015
• 页码: 263-313
• 关键词: Asset markets; liquidity; search; MODEL; POLICY

摘要

We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and normative questions: What are the determinants of the fed funds rate? How does the market reallocate funds? Is the market able to achieve an efficient reallocation of funds? We also use the model for theoretical and quantitative analyses of policy issues facing modern central banks.