The Overnight Interbank Market: Evidence from the G7 and the Euro Zone

Leonardo Bartolini, Giuseppe Bertola and Alessandro Prati

No 3090, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study the interbank markets for overnight loans of the major industrial countries, linking the behaviour of short-term interest rates to the operating procedures of these countries’ central banks. We find that many of the key behavioural features of US federal funds rates, on which previous studies have focused, are not robust to changes in institutional details, along both cross-sectional and time-series dimensions of the data. Our results indicate that central banks’ operating procedures and intervention styles play a crucial role in shaping empirical features of short-term interest rates’ day-to-day behaviour in industrial countries.

Keywords: central bank operating procedures; interest rates; reserve requirements (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-rmg
Date: 2002-02
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Related works:
Journal Article: The overnight interbank market: Evidence from the G-7 and the Euro zone (2003)
Working Paper: The overnight interbank market: evidence from the G-7 and the Euro zone (2001)
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