The Intraday Price of Money: Evidence from the e‐MID Interbank Market

Baglioni, Angelo; Monticini, Andrea

doi:10.1111/j.1538-4616.2008.00171.x

Cited by 55 publications

(71 citation statements)

References 6 publications

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“…Other studies (see Angelini et al, 2011) Another key determinant of O/N rates is the time of a transaction. While Angelini (2000) using hourly e-MID data shows no intraday pattern of interest rates, Baglioni and Monticini (2008) and Gabbi et al (2012) find a decreasing trend in the O/N rate as the trading day progresses.…”

Section: Other Control Variablesmentioning

confidence: 99%

“…The increase in the slope of the yield curve after the default of Lehman apparently creates a risk-free profit opportunity. Baglioni and Monticini (2008) suggest that this opportunity is not arbitraged away for two main reasons: uncertainty about availability of liquidity late in the afternoon and an increase in the implicit cost of collaterals. Similar to Baglioni and Monticini (2008), we also examine the effect of the time interval of the transaction performed.…”

Section: Other Control Variablesmentioning

confidence: 99%

“…Baglioni and Monticini (2008) suggest that this opportunity is not arbitraged away for two main reasons: uncertainty about availability of liquidity late in the afternoon and an increase in the implicit cost of collaterals. Similar to Baglioni and Monticini (2008), we also examine the effect of the time interval of the transaction performed. Instead of dividing the day into hourly segments, we use only two slots: morning (8 am -1 pm) and afternoon (1 pm -6 pm).…”

Section: Other Control Variablesmentioning

confidence: 99%

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Network centrality and funding rates in the e-MID interbank market

Temizsoy

Iori

Montes‐Rojas

2017

Journal of Financial Stability

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This paper empirically investigates the role of banks' network centrality in the interbank market on their funding rates. Specifically we analyze transaction data from the e-MID market, the only electronic interbank market in the Euro Area and US, over the period [2006][2007][2008][2009] that encompasses the global financial crisis. We show that interbank spreads are significantly affected by both local and global measures of connectedness. The effects of network centrality increased as the financial crisis evolved. Local measures show that having more links increases borrowing costs for borrowers and reduces premia for lenders. For global network centrality, borrowers receive a significant discount if they increase their intermediation activity and become more central, while lenders pay in general a premium (i.e. receive lower rates) for centrality. This provides evidence of the 'too-interconnected-to-fail' hypothesis.

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Section: Other Control Variablesmentioning

confidence: 99%

Section: Other Control Variablesmentioning

confidence: 99%

Section: Other Control Variablesmentioning

confidence: 99%

See 1 more Smart Citation

Network centrality and funding rates in the e-MID interbank market

Temizsoy

Iori

Montes‐Rojas

2017

Journal of Financial Stability

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“…The right bottom panel shows a scatter plot, the average rate is slightly decreasing towards the end of the day, just as the maturity of any initiated contract is effectively decreasing by a few hours. 2 For a detailed analysis of the intraday development of loan rates see Baglioni and Monticini (2008).…”

Section: Regularities In Trade Behaviormentioning

confidence: 99%

Structure in the Italian overnight loan market

Raddant

2014

Journal of International Money and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may Structure in the Italian Overnight Loan Market Matthias RaddantAbstract:We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The network, based on trading relationships, is very dense. Hence, we try to identify strong links by looking for preferential lending relationships expressed by discounts in the loan rate. Furthermore, we estimate the dynamics of credit spreads for each bank and find that economically significant spreads for the overnight market only developed in 2010. The analysis of bilateral loan relationships reveals that in the pre-crisis era large net borrowers used to borrow at a slight discount. In the post-Lehman era borrowers with large net exposures paid more than the average market rate, which shows that the risk evaluation of market participants has changed considerably.

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“…In particular, a number of studies have investigated how movements in borrowing costs depend on bank specific characteristics such as their size and creditworthiness, see Angelini, Nobili and Picillo (2011) and Gabrieli (2011a), on banks ability to exploit changing market microstructure conditions, see Gabbi et al (2014), or they have concentrated on the intraday behaviour of the rates to gain further insights into the behaviour of banks and into the provision of liquidity in the overnight money market, see Baglioni and Monticini (2008), Baglioni and Monticini (2010), Angelini (2000), Beaupain Gabrieli (2011b) and Finger et al (2012). Interestingly, most of these studies consider data up to the collapse of Lehman Brothers.…”

Section: Introductionmentioning

confidence: 99%

Bank characteristics and the interbank money market: a distributional approach

Iori

Kapar

Olmo

2015

Studies in Nonlinear Dynamics &Amp; Econometrics

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This is the accepted version of the paper.This version of the publication may differ from the final published version. Abstract This paper studies the relationship between bank characteristics, such as size, nationality, operating currency and sovereign debt in the parent country, and the distribution of funding spreads observed in the e-MID interbank money market during the Great financial crisis. Our setup is a pseudo-panel with a random number of international banks acting in the interbank market in each period. We develop new econometric tools for panel data with random effects and discrete covariates, such as a nonparametric kernel estimator of the distribution function of the response variable conditional on a set of covariates and a consistent test of first order stochastic dominance. Our empirical results, based on these tests, shed light on the survivorship bias in the e-Mid market, and reveal the existence of a risk premium on small banks, banks with currencies different from the Euro, and banks based on countries under sovereign debt distress in the periphery of the European Union. Finally we assess the impact of policy intervention in the aftermath of the financial crisis. Permanent repository link

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The Intraday Price of Money: Evidence from the e‐MID Interbank Market

Cited by 55 publications

References 6 publications

Network centrality and funding rates in the e-MID interbank market

Network centrality and funding rates in the e-MID interbank market

Structure in the Italian overnight loan market

Bank characteristics and the interbank money market: a distributional approach

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