The daily market for funds in Europe: what has changed with the EMU

Gabriel Perez Quiros and Hugo Rodriguez Mendizabal

No 313, Working Papers from Banco de España

Abstract: This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of the EMU. The analysis of the German experience is useful because it allows to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.

Keywords: Overnight Rates; Reserve Demand; Martingale Hypothesis (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2003-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/03/Fic/dt0313e.pdf First version, September 2003 (application/pdf)

Related works:
Working Paper: The Daily Market for Funds in Europe: What has Changed with the EMU? (2015)
Journal Article: The Daily Market for Funds in Europe: What Has Changed with the EMU? (2006)
Working Paper: The Daily Market for Funds in Europe: What Has Changed with the EMU? (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0313

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