The intraday price of money: Evidence from the e-MID interbank market

被引：30

作者：

Baglioni, Angelo ^{[1
]}

Monticini, Andrea ^{[1
,2
]}

机构：

[1] Catholic Univ, I-20123 Milan, Italy

[2] Univ Genoa, I-20123 Milan, Italy

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2008年 / 40卷 / 07期

关键词：

intraday interest rate; overnight interbank market; real-time settlement; central bank daylight overdrafts;

D O I：

10.1111/j.1538-4616.2008.00171.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid-1990s: we explain this evolution as an outcome of the recent trend toward real-time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit.

引用

页码：1533 / 1540

页数：8

共 12 条

[1] Are banks risk averse? Intraday timing of operations in the interbank market [J].