Changes in the Timing Distribution of Fedwire Funds Transfers

Armantier, Olivier; McAndrews, James; Arnold, Jeffrey

doi:10.2139/ssrn.1141334

Cited by 37 publications

(27 citation statements)

References 12 publications

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“…These loans, commonly referred to as federal funds (or fed funds), are delivered on the same day, and their duration is typically overnight. 3 The interest rate on these loans is known as the fed funds rate. Participants in the fed funds market include commercial banks, thrift institutions, agencies and branches of foreign banks in the United States, government securities dealers, government agencies such as federal or state governments, and government sponsored enterprises (GSEs, e.g., Freddie Mac, Fannie Mae, and Federal Home Loan Banks).…”

Section: Institutional Considerationsmentioning

confidence: 99%

An Empirical Study of Trade Dynamics in the Fed Funds Market

Afonso

Lagos

2012

SSRN Journal

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We use minute-by-minute daily transaction-level payments data to document the cross-sectional and time-series behavior of the estimated prices and quantities negotiated by commercial banks in the fed funds market. We study the frequency and volume of trade, the size distribution of loans, the distribution of bilateral fed funds rates, and the intraday dynamics of the reserve balances held by commercial banks. We find evidence of the importance of the liquidity provision achieved by commercial banks that act as de facto intermediaries of fed funds.

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Section: Institutional Considerationsmentioning

confidence: 99%

An Empirical Study of Trade Dynamics in the Fed Funds Market

Afonso

Lagos

2012

SSRN Journal

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“…With intra-day loans priced at zero nominal interest, there is an incentive for debtors to wait as long as possible to settle IOUs. 2 Second, the debtor faces an intertemporal consumption choice problem; old debtors derive utility from production. If the returns to production are positively related to time of arrival -that is, late-arriving debtors are rewarded with higher rates of return -then there is further incentive to delay arrival for as long as possible.…”

Section: Introductionmentioning

confidence: 99%

Production, hidden action, and the payment system

Guzman

Haslag

2011

Journal of Monetary Economics

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In this paper, we study a model economy that can account for the distribution of payments within a day. In our model, debtors choose when to arrive at the settlement location. Concomitant with choosing their arrival, debtors are making a production decision. We assume there is a cost to arriving early; that is, late-arrival is associated with a technology that dominates early arrival/production. Second, we treat the debtor's choice as hidden from creditors. We derive conditions in which the planner allocate production to each type. In the decentralized setting, there is an arbitrage condition that is consistent with a positive intraday rate. The central bank may be able to implement the planner's allocation with a proper intraday interest rate. In some cases, the intraday rate is positive.

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“…Armantier et al [4] seek to quantify how the changing environment in which Fedwire (the largest LVPS of the United States) operates has affected the timing of payment value transferred within the system. They observe several trends in payment timing from 1998 to 2006.…”

Section: Literature Reviewmentioning

confidence: 99%

Direct Participants’ Behavior Through the Lens of Transactional Analysis: The Case of SPEI®

Alexandrova-Kabadjova

Serguieva

Heijmans

et al. 2015

Proceedings of the International Conference on Social Modeling and Simulation, Plus Econophysics Colloquium 2014

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This paper presents a methodology to study the flow of funds in large value payment systems (LVPSs). The presented algorithm separates the flow of payments in two categories: (1) external funds, i.e. funds transferred from other financial market infrastructures (FMIs) or provided by the central bank and (2) the reuse of incoming payments. Our method further studies the flow of intraday liquidity under the framework of its provision within the Mexican FMIs. The aim is to evaluate the impact of the intraday liquidity provision, and understand how liquidity is transmitted to participants in the Mexican LVPS SPEI R . IntroductionThe worldwide economic crisis has revealed that liquidity problems of (large) banks can occur suddenly, and with serious consequences for the (global) financial stability. The Lehman Brothers' collapse in 2008 is the most recent and widely referred to example. The interest, by both academics and financial authorities (such as central banks), in intraday liquidity management has gained momentum since then. Studying intraday liquidity flows, gives valuable insight into: (1) the provision of liquidity and the level of efficient use, (2) potential liquidity risks in settling payment obligations, and (3) the degree of interdependencies between financial B. Alexandrova-Kabadjova ( ) • L. Garcia-Ochoa Banco de México,

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Changes in the Timing Distribution of Fedwire Funds Transfers

Cited by 37 publications

References 12 publications

An Empirical Study of Trade Dynamics in the Fed Funds Market

An Empirical Study of Trade Dynamics in the Fed Funds Market

Production, hidden action, and the payment system

Direct Participants’ Behavior Through the Lens of Transactional Analysis: The Case of SPEI®

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