Economics at your fingertips  

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. Copyright (c) 2008 The Ohio State University.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (45) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2020-02-19
Handle: RePEc:mcb:jmoncb:v:40:y:2008:i:7:p:1533-1540