The overnight interbank market: evidence from the G-7 and the Euro zone
Leonardo Bartolini and
No 135, Staff Reports from Federal Reserve Bank of New York
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find that many of these features are not robust to changes in institutional details and in the style of central bank intervention, along both cross-sectional and time-series dimensions of our data. Our results suggest that the empirical features of the day-to-day behavior of short-term interest rates are more strongly influenced by institutional arrangements than by extensively researched market frictions.
Keywords: interest rates; reserve requirements; central bank procedures (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-mon
Note: For a published version of this report, see Alessandro Prati, Leonardo Bartolini, and Giuseppe Bertola, "The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone," Journal of Banking and Finance 27, no. 10 (October 2003): 2045-83.
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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 G7 and the Euro Zone (2002)
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