Systemic Illiquidity in the Federal Funds Market

By Adam B. Ashcraft, Darrell Duffie. 2007

175 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0703447c12c0e15c8d47eab647af30c2fe653012

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Citations in the corpus

Finding a Good Price in Opaque Over-the-Counter Markets (2012, unknown): “13 For example,Ashcraft and Duffie(2007) find that a significant number of loans in the federal funds market are made by lenders who are relatively short of funds themselves.”
Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis (2010, unknown): “Ashcraft and Duffie (2007) hint at the possibility that precautionary targeting of reserves by banks, anticipating the heightened risk of hoarding by other banks, can lead to a “gridlock”, high interest rates and systemic risk, on days when some large institutions end up with high reserves (by…”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “Ashcraft and Duffie (2007) study intra-day variations of overnight loans of federal funds traded in the interbank market.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Empirical evidence of opaqueness, reflected in the degree of heterogeneity across investors of execution prices, is given in various settings by Ashcraft and Duffie (2007), Goldstein, Hotchkiss, and Sirri (2007), Green, Hollifield, and Schürhoff (2007a,b), and Green, Li, and Schürhoff (2008).”
Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis (2011, methodology): “Similar data is used in Bartolini et al. (2009), Bech and Atalay (2008) and Ashcraft and Duffie (2007), among others.9 The data include the date, amount, interest rate, time of delivery and time of return as well as the identity of the lender and the borrower of every transaction sent over Fedwire.”
Liquidity in asset markets with search frictions (2007, background): “Lemma 1 The outcome of the bargaining problem (2) is”
Trading Partners in the Interbank Lending Market (2013, background): “7 For empirical studies on the US interbank market, see Bech and Atalay (2008), Ashcraft and Duffie (2007), Afonso, Kovner and Schoar (2011) and Afonso and Lagos (2012b), among others.”
Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions (2017, background): “For example, Ashcraft and Duffie (2007) describe their discussions with federal funds traders at large banks who ask other profit centers of their banks to avoid large trades (for example, currency trades) toward the end of the trading date to avoid the possibility of a negative reserve balance.”
Do Cultural Differences Between Contracting Parties Matter? Evidence from Syndicated Bank Loans (2012, unknown): “5 Ashcraft and Duffie (2007) provide evidence that in the Federal Funds market, the matching of counterparties may be inefficient and that this is reflected in pricing.”
Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, methodology): “The approach also formalizes the dispersion or volatility measure used in the Federal Funds market and the LIBOR market to assess liquidity at a macro-economic level, for example by Ashcraft and Duffie (2007) and Sarkar and Shrader (2010). Furthermore, an important aspect of the proposed regulatory ”