The overnight interbank market: evidence from the G-7 and the Euro zone
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.
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Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 2001-09-01
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.