Inferring interbank loans and interest rates from interbank payments - an evaluation

Qaisar Akram and Casper Christophersen

No 2013/26, Working Paper from Norges Bank

Abstract: We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual overnight loans and interest rates reported daily by these banks to the Norwegian central bank since October 2011. We find that interbank payments can provide reliable information about overnight lending and overnight interest rates at the market level, and even at the bank level, for relatively small overnight lenders and large overnight lenders that mostly lend on their own behalf.

Keywords: Furfine; Overnight interbank rates; Interbank payments. (search for similar items in EconPapers)
JEL-codes: E42 E43 G21 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2013-12-23
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2013_26

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