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

Barucci, Emilio; Impenna, Claudio; Renò, Roberto

doi:10.2139/ssrn.416300

“…In principle, assuming that a common, euro-area wide atomistic market existed 5 any of the thousands of credit institutions connected to TARGET would have the possibility to settle trades with any other counterparty, irrespective of its location in the EU, thus exploiting any possible arbitrage opportunity. Indeed, one of the key features of the TARGET system is that its participants can address payments one to another without the need to pre-establish any additional business relation deriving from their participation in the payment system (like, for instance, assigning credit limits specifically related to TARGET activity, or establishing standing correspondent banking relations).…”

Section: The Geography Of Target Cross-border Interbank Paymentsmentioning

confidence: 99%

Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data

Rosati

¹

,

Secola

²

2006

Journal of Banking & Finance

View full text Add to dashboard Cite

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 C O N T E N T SAbstract 4

show abstract

“…As the literature suggests (see, e.g., Angelini (2000), Barucci et al (2004), Durré (2008), or Gaspar et al (2008)), the institutional setting also influences the liquidity and activity of this market. We therefore remove the seasonality induced by the operational framework from the mean and variance of our proxies.…”

Section: Market Activitymentioning

confidence: 98%

Nonlinear Liquidity Adjustments in the Euro Area Overnight Money Market

Beaupain

¹

,

Durré

²

2009

View full text Add to dashboard Cite

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 AcknowledgementsThe authors thank seminar and conference participants at the University of Cambridge, the Deutsche Bundesbank, the European Central Bank, and SKEMA for insightful comments. The authors are also grateful to e-MID for providing the data and very useful explanations on the functioning of the electronic platform. The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of the European Central Bank or the Eurosystem.Renaud Beaupain IÉSEG School of Management and LEM-CNRS (U.M.R. 8179); e-mail: r.beaupain@ieseg.fr Alain DurréEuropean Central Bank, IÉSEG School of Management and LEM-CNRS (U.M.R. 8179); e-mail: alain.durre@ecb.europa.eu AbstractThe market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to guarantee the timely provision of unsecured funds to banks to smoothly absorb their liquidity shocks. This paper specifically focuses on the speed of reversion of transaction costs and available depth to their equilibrium levels in this market for overnight unsecured funds from 4 September 2000 to 31 December 2007. The reported evidence points to time-varying liquidity adjustments and identifies liquidity, market activity and the institutional setting of the ECB's refinancing operations as significant determinants of the observed resiliency regimes. Our analysis also shows how the speed of mean reversion of market liquidity, by affecting the level and the volatility of the overnight market rate, also affects the anchoring of the yield curve in the euro area.

show abstract