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Uncollateralized overnight lending in Canada

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  • Scott Hendry
  • Nadja Kamhi

Abstract

Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion. This makes the market slightly larger than the brokered repo market but only about one-tenth of the estimate for the direct trade repo market. The implied uncollateralized overnight rate was found to be remarkably stable relative to other measures of the overnight rate. Loan rates are found to vary with market conditions, the size of the loan, and the type (big versus small) of the borrower and lender.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 19 (2009)
Issue (Month): 11 ()
Pages: 869-880

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Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:869-880

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Cited by:
  1. Jason Allen & James Chapman & Federico Echenique & Matthew Shum, 2012. "Efficiency and Bargaining Power in the Interbank Loan Market," Working Papers 12-29, Bank of Canada.
  2. Bonner, C. & Eijffinger, S.C.W., 2012. "The Impact of the LCR on the Interbank Money Market," Discussion Paper 2012-075, Tilburg University, Center for Economic Research.

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