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 InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 20_11.
Date of creation: Mar 2011
Date of revision:
Euro money market; order flow; interest rates;
Other versions of this item:
- Massimiliano Marzo & Paolo Zagaglia, 2012. "Trading directions and the pricing of Euro interbank deposits in the long run," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1827-1839, December.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-CBA-2011-04-09 (Central Banking)
- NEP-EEC-2011-04-09 (European Economics)
- NEP-MIC-2011-04-09 (Microeconomics)
- NEP-MST-2011-04-09 (Market Microstructure)
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.:
- 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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