The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System

Emilio Barucci (), Claudio Impenna () and Roberto Renò
Additional contact information
Emilio Barucci: Universita di Pisa - Department of Economics
Claudio Impenna: Bank of Italy - Payment System Department

CEIS Research Paper from Tor Vergata University, CEIS

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 volatility 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)
Pages: 52
Date: 2003-06-23
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Citations: View citations in EconPapers (3)

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Working Paper: The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system (2003)
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