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Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run

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  • Massimiliano Marzo

    ()
    (Department of Economics, Università di Bologna)

  • Paolo Zagaglia

    ()
    (Department of Economics, Università di Bologna)

Abstract

We 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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File URL: http://www.rcfea.org/RePEc/pdf/wp20_11.pdf
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Bibliographic Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 20_11.

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Date of creation: Mar 2011
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Handle: RePEc:rim:rimwps:20_11

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Keywords: Euro money market; order flow; interest rates;

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  1. 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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