| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976053 | Physica A: Statistical Mechanics and its Applications | 2010 | 24 Pages |
Abstract
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.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Morten L. Bech, Enghin Atalay,