A Micro Model of the Federal Funds Market
通过建模市场参与者的微观决策，分析联邦基金利率的决定因素，解释大银行净买入、小银行净卖出联邦基金的现象，以及联邦基金利率高于其他短期货币市场利率的利差与美联储货币政策策略的关系。
ABSTRACT This paper demonstrates that valuable insights into the determination of Federal funds rates can be gained through modeling the micro‐decisions of market participants. Fed fund demand functions are derived for different bank valuation functions and several implications are discussed. Specifically, it is: (i) possible to rationalize the observation that large banks are net purchasers and small banks net sellers of Fed funds; (ii) to explain the positive spread of Fed funds rates over other short‐term money market rates; and (iii) to link the size of this spread to the Federal Reserve's underlying monetary policy strategy.