Central bank reserves and interbank market liquidity in the euro area

Beaupain, Renaud; Durré, Alain

doi:10.1016/j.jfi.2012.10.001

Cited by 10 publications

(11 citation statements)

References 53 publications

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“…We also employed other measures of market illiquidity that are used in the related literature (e.g., Beaupain and Durre ) with similar results: the intraday standard deviation, the bid‐ask spread proposed by Roll (), and the difference between the interest rates on borrower‐induced and lender‐induced trades. The results are qualitatively similar.…”

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confidence: 99%

Variations in Market Liquidity and the Intraday Interest Rate

Abbassi¹,

Fecht²,

Tischer³

2017

J of Money Credit Banking

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Most central banks offer banks participating in large‐value real‐time gross settlement (RTGS) systems a free intraday overdraft facility to discourage banks from actively managing their daylight liquidity. In this paper, we ask whether this facility has kept the intraday interest rate at zero. Using a unique transaction‐level data set on collateralized interbank loans for 2006–12, we find that during periods of financial distress, rates for morning transactions are higher than those in the afternoon. Moreover, this intraday rate correlates with market liquidity, suggesting that rates contain a liquidity premium. This intraday pattern is reduced, but not eliminated by the Eurosystem's accommodative liquidity provision.

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confidence: 99%

Variations in Market Liquidity and the Intraday Interest Rate

Abbassi¹,

Fecht²,

Tischer³

2017

J of Money Credit Banking

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“…Other approaches such as those by Beaupain and Durré (2013) focuses on the price level of the interbank market to capture shocks to the reserves. According to Warjiyo (2014), however, this approach may not represent the interbank condition encountered in Indonesia, that is, shallow and concentrated in several banks.…”

Section: Conceptual Framework and Datamentioning

confidence: 99%

Gauging the Impact of Payment System Innovations on Financial Intermediation: Novel Empirical Evidence from Indonesia

Lubis

Alexiou

Nellis

2019

Journal of Emerging Market Finance

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In this article, the relationship between innovations in the payment systems and financial intermediation is explored. By focusing on excess reserves and currency demand we provide evidence on the extant transmission mechanism. In this direction, a generalised method of moments (GMM) and vector error correction model (VECM) techniques are applied to a data set collated for Indonesia. We find that financial intermediation is affected by currency demand while we observe a limited role of excess reserves affecting financial intermediation. Credit card payments are found to have a statistically significant effect on currency demand, whereas debit card payments only influence financial intermediation in the long run. In addition, the real-time gross settlement (RTGS) exerts an upward pressure on excess reserves. The findings are of great importance as they provide support to policies that favour payment migration to an electronic platform, particularly that of card-based payment systems. JEL Classification: E42, E58, N25, G21

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“…Based on trade and quote data from the e-Mid trading platform, Brunetti, Di Filippo and Harris (2011), Beaupain and Durré (2013), and Beaupain and Durré (2016) analyze liquidity in the unsecured market for EUR liquidity. Brunetti, Di Filippo and Harris (2011) illustrate that the main refinancing operations by the ECB positively affected liquidity prior to the financial crisis but negatively affected liquidity during the financial crisis.…”

Section: Literaturementioning

confidence: 99%

“…Moreover, Brunetti, Di Filippo and Harris (2011) show that the extraordinary refinancing operations of the ECB increased uncertainty in financial markets and reduced the supply of reserves in the interbank market. Beaupain and Durré (2013) analyze liquidity in the same market but focus on the general determinants of market liquidity. They find that market liquidity depends on the amount of reserves in the financial system, the general market activity, and on the so-called operational framework of the ECB.…”

Section: Literaturementioning

confidence: 99%

Liquidity in the repo market

Fuhrer

2018

Journal of International Money and Finance

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Central bank reserves and interbank market liquidity in the euro area

Cited by 10 publications

References 53 publications

Variations in Market Liquidity and the Intraday Interest Rate

Variations in Market Liquidity and the Intraday Interest Rate

Gauging the Impact of Payment System Innovations on Financial Intermediation: Novel Empirical Evidence from Indonesia

Liquidity in the repo market

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