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

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24 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)1533-1540
Number of pages8
JournalJOURNAL OF MONEY, CREDIT, AND BANKING
Volume40
DOIs
Publication statusPublished - 2008

Keywords

  • Interest rates

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