The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone

41 Pages Posted: 2 Aug 2006

See all articles by Alessandro Prati

Alessandro Prati

International Monetary Fund (IMF) - Research Department, Deceased

Leonardo Bartolini

affiliation not provided to SSRN (deceased)

Giuseppe Bertola

University of Turin - Department of Economics

Date Written: September 2001

Abstract

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

JEL Classification: E43, E52, E58

Suggested Citation

Prati, Alessandro and Bartolini (deceased), Leonardo and Bertola, Giuseppe, The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone (September 2001). FRB of New York Staff Report No. 135, Available at SSRN: https://ssrn.com/abstract=921618 or http://dx.doi.org/10.2139/ssrn.921618

Alessandro Prati

International Monetary Fund (IMF) - Research Department, Deceased ( email )

Leonardo Bartolini (deceased) (Contact Author)

affiliation not provided to SSRN (deceased)

Giuseppe Bertola

University of Turin - Department of Economics ( email )

Lungo Dora Siena 100
Torino, 10153
Italy
+39 011 670 4405 (Phone)

HOME PAGE: http://https://sites.google.com/site/gipbert

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
151
Abstract Views
1,220
Rank
350,945
PlumX Metrics