The Money Market Daily Session:an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy

Fátima Sol Murta

Brussels Economic Review, 2007, vol. 50, issue 3, 285-314

Abstract: The study of the determination of the overnight interest rate in the interbank market, and the behaviour of its volatility, gained new insights with contributions from the microstructure theory. The aim of this article is to study the effect of the trade intensity over the volatility of the overnight interest rate, using intra-daily data related to the Portuguese Money Market (MMI). The analysis is focused in two different periods of time, before and after the introduction of the minimum reserve rules of the Single Monetary Policy. We find that these rules have contributed to interest rate stability.

Keywords: Money market; Market Microstructure; Interest rate volatility; ACD models; UHF-GARCH models (search for similar items in EconPapers)
JEL-codes: E43 E58 G21 (search for similar items in EconPapers)
Date: 2007
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