Daytime Is Money

Sébastien Kraenzlin and Thomas Nellen

Journal of Money, Credit and Banking, 2010, vol. 42, issue 8, 1689-1702

Abstract: Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable insights into the daytime value of money. In analogy to Baglioni and Monticini (2008), we provide evidence that an implicit intraday money market exists. We further show that the introduction of foreign exchange settlement system, Continuous Linked Settlement, increased the implicit value of intraday liquidity during settlement cycle hours, thus providing further evidence of the cost of immediacy. Finally, we provide evidence that during the financial market turmoil the implicit intraday interest in a secured money market was less affected than that in an unsecured money market.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1111/j.1538-4616.2010.00360.x

Related works:
Journal Article: Daytime Is Money (2010)
Working Paper: Daytime is money (2010)
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: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:42:y:2010:i:8:p:1689-1702

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 Content Delivery ().