Trading directions and the pricing of Euro interbank deposits in the long run
AbstractWe investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money market rates. We report strong evidence of a long-term linear relation between trading imbalances and liquidity prices for Euro interbank deposits.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 18 (December)
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Web page: http://www.tandfonline.com/RAEL20
Other versions of this item:
- Massimiliano Marzo & Paolo Zagaglia, 2011. "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper Series 20_11, The Rimini Centre for Economic Analysis.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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- Haitao Li & Junbo Wang & Chunchi Wu & Yan He, 2009. "Are Liquidity and Information Risks Priced in the Treasury Bond Market?," Journal of Finance, American Finance Association, vol. 64(1), pages 467-503, 02.
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