This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Angelini, Paolo

Additional information is available for the following registered author(s):

Abstract

The paper presents a simple theory of intraday behavior in the interbank market. The timing of borrowing and lending operations depends on the information available on two key variables: the end-of-day balance from the clearing system--the algebraic sum of incoming (+) and outgoing (-) daily payments--and the short-term interest rate. When the former is the relevant source of uncertainty, risk-averse banks should tend to operate close to the end of the business day, when the balance becomes observable. Conversely, when the interbank rate is relatively more volatile, operations should be shifted to the early morning, when the balance is not observable but the rate is. The theory is found to be consistent with banks' behavior in the Italian interbank market.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 32 (2000)
Issue (Month): 1 (February)
Pages: 54-73
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:mcb:jmoncb:v:32:y:2000:i:1:p:54-73

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 181-205, September. [Downloadable!] (restricted)
  2. Filippo Vergara Caffarelli, 2006. "Merge and Compete. Strategic incentives for vertical integration," Temi di discussione (Economic working papers) 608, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  3. Stefano Federico & Gaetano Alfredo Minerva, 2007. "Outward FDI and local employment growth in Italy," Temi di discussione (Economic working papers) 613, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  4. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  5. Sabrina Di Addario, 2006. "Job Search in Thick Markets: Evidence from Italy," Temi di discussione (Economic working papers) 605, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  6. Roberto Golinelli & Sandro Momigliano, 2006. "Real-time determinants of fiscal policies in the euro area: Fiscal rules, cyclical conditions and elections," Temi di discussione (Economic working papers) 609, Bank of Italy, Economic Research Department. [Downloadable!]
  7. Antoine Martin & James McAndrews, 2008. "Should there be intraday money markets?," Staff Reports 337, Federal Reserve Bank of New York. [Downloadable!]
  8. Antoine Martin, 2002. "Optimal pricing of intra-day liquidity," Research Working Paper RWP 02-02, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  9. Morten Bech & Rod Garratt, 2001. "The Intraday Liquidity Management Game," University of California at Santa Barbara, Economics Working Paper Series 18-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    Other versions:
  10. Pietro Tommasino, 2006. "The Political Economy of Investor Protection," Temi di discussione (Economic working papers) 604, Bank of Italy, Economic Research Department. [Downloadable!]
  11. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper 24, Tor Vergata University, CEIS. [Downloadable!]
  12. Arco van Oord & Howie Lin, 2005. "Molling Inter- and Intraday Payment Flows," DNB Working Papers 074, Netherlands Central Bank, Research Department. [Downloadable!]
  13. Yasuo Nishiyama, 2007. "Are Banks Risk-Averse?," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 471-490, Fall. [Downloadable!]
  14. Antoine Martin & James McAndrews, 2008. "An economic analysis of liquidity-saving mechanisms," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 25-39. [Downloadable!]
  15. Antoine Martin & James McAndrews, 2007. "Liquidity-saving mechanisms," Staff Reports 282, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  16. Antoine Martin & James McAndrews, 2008. "A study of competing designs for a liquidity-saving mechanism," Staff Reports 336, Federal Reserve Bank of New York. [Downloadable!]
  17. Olivier Armantier & Jeffrey Arnold & James McAndrews, 2008. "Changes in the timing distribution of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-112. [Downloadable!]
  18. Andrea Nobili & Stefano Neri, 2006. "The transmission of monetary policy shocks from the US to the euro area," Temi di discussione (Economic working papers) 606, Bank of Italy, Economic Research Department. [Downloadable!]
  19. Luca Dedola & Stefano Neri, 2006. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Temi di discussione (Economic working papers) 607, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  20. Claudia Biancotti & Leandro D'Aurizio & Raffaele Tartaglia-Polcini, 2007. "A neural network architecture for data editing in the Bank of ItalyÂ’s business surveys," Temi di discussione (Economic working papers) 612, Bank of Italy, Economic Research Department. [Downloadable!]
  21. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI). [Downloadable!]
  22. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research Department. [Downloadable!]
  23. Enghin Atalay & Antoine Martin & James McAndrews, 2008. "The welfare effects of a liquidity-saving mechanism," Staff Reports 331, Federal Reserve Bank of New York. [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc and its associated services are free for contributors and users, and do not accept any advertising.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.