Exploring an uncharted market: Evidence on the unsecured Swiss franc money market

Basil Guggenheim, Sébastien Kraenzlin and Silvio Schumacher

No 2011-05, Working Papers from Swiss National Bank

Abstract: To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. Furfine (1999) introduced the idea of calculating unsecured overnight interbank lending by using data of a RTGS system. Based on data from the Swiss payment system (SIC) we developed an algorithm to identify unsecured interbank loans in Swiss francs. In contrast to Furfine (1999) we also identify longer-term transactions. We thereby gain a deeper insight on the size and structure of the unsecured interbank money market in Swiss francs. This is the first time that SIC data have been used to identify transactions and market rates in the unsecured Swiss franc money market. Overall, the estimates show that after the collapse of Lehman Brothers loss of confidence led to a freezing-up of the market for several months and a decrease in daily turnover.

Keywords: Unsecured interbank money market; development; money market turmoil; financial stability; Switzerland (search for similar items in EconPapers)
JEL-codes: E40 E42 E44 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2011-05

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