The Overnight Interbank Market: Evidence from the G7 and the Euro Zone

Leonardo Bartolini, Giuseppe Bertola and Alessandro Prati

No 3090, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study the interbank markets for overnight loans of the major industrial countries, linking the behaviour of short-term interest rates to the operating procedures of these countries’ central banks. We find that many of the key behavioural 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-day behaviour in industrial countries.

Keywords: central bank operating procedures; interest rates; reserve requirements (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-rmg
Date: Written
View list of references View citations in EconPapers

Downloads: (external link)
http://www.cepr.org/pubs/dps/DP3090.asp (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: The overnight interbank market: evidence from the G-7 and the Euro zone (2001)
Journal Article: The overnight interbank market: Evidence from the G-7 and the Euro zone (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:3090

Ordering information: This working paper can be ordered from
http://www.cepr.org/pubs/dps/DP3090.asp

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers
Address: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Series data maintained by ().