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.

Monticini, A., Baglioni, A. S., The Intraday Price of Money: evidence from the e-mid interbank market, <<JOURNAL OF MONEY, CREDIT, AND BANKING>>, 2008; 40 (Ottobre): 1533-1540. [doi:10.1111/j.1538-4616.2008.00171.x] [http://hdl.handle.net/10807/4705]

The Intraday Price of Money: evidence from the e-mid interbank market

Monticini, Andrea;Baglioni, Angelo Stefano
2008

Abstract

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.
Inglese
Monticini, A., Baglioni, A. S., The Intraday Price of Money: evidence from the e-mid interbank market, <>, 2008; 40 (Ottobre): 1533-1540. [doi:10.1111/j.1538-4616.2008.00171.x] [http://hdl.handle.net/10807/4705]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/4705
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