The Intraday Price of Money: Evidence from the e‐MID Interbank Market

Angelo Baglioni and Andrea Monticini

Journal of Money, Credit and Banking, 2008, vol. 40, issue 7, 1533-1540

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.

Date: 2008
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https://doi.org/10.1111/j.1538-4616.2008.00171.x

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Journal Article: The Intraday Price of Money: Evidence from the e-MID Interbank Market (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:40:y:2008:i:7:p:1533-1540

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