The Overnight Interbank Market: Evidence From the G-7 and the Euro Zone
Journal of Banking & Finance, 2003, 27, 10, 2045-2083
PRATI, Alessandro, BARTOLINI, Leonardo, BERTOLA, Giuseppe, The Overnight Interbank Market: Evidence From the G-7 and the Euro Zone, Journal of Banking & Finance, 2003, 27, 10, 2045-2083 - https://hdl.handle.net/1814/16595
Retrieved from Cadmus, EUI Research Repository
We study the interbank markets for overnight loans of the major industrial countries, linking the behavior of short-term interest rates to the operating procedures of these countries' central banks. We find that many of the key behavioral features of US federal funds rates, on which previous studies have focused, are not robust to changes in institutional details, along both cross-sectional and time-series dimensions of the data. Our results indicate that central banks' operating procedures and intervention styles play a crucial role in shaping empirical features of short-term interest rates' day to-to-day behavior in industrial countries. (C) 2003 Elsevier B.V. All rights reserved.
Cadmus permanent link: https://hdl.handle.net/1814/16595
Full-text via DOI: 10.1016/S0378-4266(02)00320-5
Publisher: Elsevier Science Bv
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