The topology of the federal funds market

被引：166

作者：

Bech, Morten L. ^{[1
]}

Atalay, Enghin ^{[2
]}

机构：

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

[2] Univ Chicago, Chicago, IL 60637 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2010年 / 389卷 / 22期

关键词：

Network; Topology; Interbank; Money market;

D O I：

10.1016/j.physa.2010.05.058

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：5223 / 5246

页数：24

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