Trading directions and the pricing of Euro interbank deposits in the long run

Massimiliano Marzo and Paolo Zagaglia

Applied Economics Letters, 2012, vol. 19, issue 18, 1827-1839

Abstract: We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money market rates. We report strong evidence of a long-term linear relation between trading imbalances and liquidity prices for Euro interbank deposits.

Date: 2012
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Working Paper: Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run (2011)
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DOI: 10.1080/13504851.2012.663467

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