The Topology of the Federal Funds Market

Social Science Research Network, 2008

357 citations recorded by the source corpus.

We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. Centrality measures are useful predictors of the interest rate of a loan.

Subfields: Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/6797d5ff4f84ba5771b99ad1f7df39f335a872bc

Citations in the corpus

• Quantification of systemic risk from overlapping portfolios in the financial system (2018, neutral): “In this context several network-based SR-measures have been roposed recently (Markose et al., 2012; Billio et al., 2012; Thurner nd Poledna, 2013).”
• A Network-Based Analysis of Over-the-Counter Markets (2011, neutral): “Figure 6 plots the expected welfare loss in a homogeneous (dashed line) and an inhomogeneous trading network (solid line) for the trading network of 1000 agents, which is approximately the number of banks in the federal funds market (Bech and Atalay 2008), with b = 0.”
• Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, neutral): “Studying the US Federal Funds market, Bech and Atalay (2010) have also found that the number of counterparties per bank follows a fat-tailed distribution, with most banks having few counterparties and a small number 16Clustering coefficients measure the tendency of linked nodes to have common…”
• Multiplex Interbank Networks and Systemic Importance: An Application to European Data (2016, neutral): “…market, other studies made use of alternative country-specific datasets: Craig and von Peter (2014) for Germany, Soramäki et al. (2007) and Bech and Atalay (2008) for the U.S.A., Degryse and Nguyen (2007) for Belgium, van Lelyveld and In’t Veld (2012) for the Netherlands, Fricke and Lux…”
• The Network Structure of the CDS Market and its Determinants (2014, neutral): “Hence, our restricted sample covers a very large part of the information contained in the full sample of 642 reference entities.”
• Filling in the blanks: network structure and interbank contagion (2014, neutral): “Similar results were found for the federal funds market (Bech and Atalay 2010) and for the Italian interbank market (Iori et al.”
• Interbank Tiering and Money Center Banks (2010, positive): “…the number of active banks 13Bilateral interbank positions often have to be either reconstructed from payment flows (e.g. Furfine (2003), Bech and Atalay (2010), and Wetherilt et al. (2009)), or estimated from balance sheet data using entropy methods (Upper and Worms (2004), Boss et al.…”
• Rollover Risk, Network Structure and Systemic Financial Crises (2012, neutral): “Bech and Atalay (2010) also suggest that interbank market can be viewed as a financial network in which banks are nodes and loans are directed links and note, moreover, that credit relations are established through a random matching process.”