The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system

Emilio Barucci, Claudio Impenna () and Roberto Renò
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Emilio Barucci: University of Pisa
Claudio Impenna: Banca d'Italia

No 475, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper analyzes the Italian segment of the Eurozone money market since the start of the European Monetary Union. Some relevant variables are analyzed at different frequencies (intramonth, intraweek and intraday); both level and volatily of the overnight interest rate, volume exchanged in the Italian overnight market, domestic and cross-border large value payments channeled in the Italian real-time gross settlement system (BI-REL). Patterns against the martingale hypothesis on the short-term interest rate are detected, and the relationship between the payment flows and the rate itself is investigated. Overall, evidence comes out that in the new framework Italian banks seem to manage liquidity efficiently.

Keywords: overnight market; interest rate; payment system (search for similar items in EconPapers)
JEL-codes: E42 E43 E50 (search for similar items in EconPapers)
Date: 2003-06
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Working Paper: The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_475_03

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