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The Daily Market for Funds in Europe: What Has Changed with the EMU? Author info | Abstract | Publisher info | Download info | Related research | Statistics Gabriel Pérez Quir?
Hugo Rodr?uez Mendiz?al ()
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This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of the EMU. The analysis of the German experience is useful because it allows to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.
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Paper provided by Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) in its series UFAE and IAE Working Papers with number
559.03.
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Length: 36
Date of creation: 03 Feb 2003Date of revision:
Handle: RePEc:aub:autbar:559.03Contact details of provider: Postal: 08193, Bellaterra, Barcelona Phone: 34 93 592 1203 Web page: http://pareto.uab.cat More information through EDIRC
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Keywords: Overnight Rates ; Reserve Demand ; Martingale Hypothesis ; Other versions of this item:
Find related papers by JEL classification: E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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References listed on IDEAS 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.: Ulrich Bindseil & Franz Seitz, 2001.
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Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
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[Downloadable!] (restricted) Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
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[Downloadable!] (restricted) Vitor Gaspar & Jorge Sicilia & Gabriel Perez-Quiros, 2001.
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Other versions:
Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001.
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[Downloadable!] Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001.
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Campbell, John Y, 1987.
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"Empirical assessment of Monetary Policy Instruments and Procedures (MPIP) in EU Countries ,"
Papers
2, European Monetary Institute.
Full
references 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.)
Alfred V. Guender & Oyvinn Rimer, 2007.
"The Implementation of Monetary Policy in New Zealand: What Factors Affect the 90-Day Bank Bill Rate? ,"
Working Papers in Economics
07/05, University of Canterbury, Department of Economics.
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Other versions: Marius Jurgilas, 2006.
"Interbank Markets under Currency Boards ,"
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2006-19, University of Connecticut, Department of Economics.
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Nautz, Dieter & Schmidt, Sandra, 2008.
"Monetary Policy Implementation and the Federal Funds Rate ,"
ZEW Discussion Papers
08-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2004.
"Sporadic manipulation in money markets with central bank standing facilities ,"
Working Paper Series
399, European Central Bank.
[Downloadable!]
Linzert, Tobias & Schmidt, Sandra, 2007.
"What Explains the Spread Between the Euro Overnight Rate and the ECB?s Policy Rate? ,"
ZEW Discussion Papers
07-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
Other versions: Silvio Colarossi & Andrea Zaghini, 2007.
"Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission ,"
CFS Working Paper Series
2007/16, Center for Financial Studies.
[Downloadable!]
Adam Ashcraft & James McAndrews & David Skeie, 2009.
"Precautionary reserves and the interbank market ,"
Staff Reports
370, Federal Reserve Bank of New York.
[Downloadable!]
Julius Moschitz, 2004.
"The determinants of the overnight interest rate in the euro area ,"
Working Paper Series
393, European Central Bank.
[Downloadable!]
Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2007.
"Manipulation in Money Markets ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 3(1), pages 113-148, March.
[Downloadable!]
Other versions: Kempa, Michal, 2007.
"What determines commercial banks’ demand for reserves in the interbank market ,"
Research Discussion Papers
30/2007, Bank of Finland.
[Downloadable!]
Silvio Colarossi & Andrea Zaghini, 2009.
"Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission ,"
Temi di discussione (Economic working papers)
710, Bank of Italy, Economic Research Department.
[Downloadable!]
Kempa , Michal, 2006.
"Money market volatility, A simulation study ,"
Research Discussion Papers
13/2006, Bank of Finland.
[Downloadable!]
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