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Exploring an uncharted market: Evidence on the unsecured Swiss franc money market

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Author Info

  • Basil Guggenheim
  • Sébastien Philippe Kraenzlin
  • Silvio Schumacher

Abstract

To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. Furfine (1999) introduced the idea of calculating unsecured overnight interbank lending by using data of a RTGS system. Based on data from the Swiss payment system (SIC) we developed an algorithm to identify unsecured interbank loans in Swiss francs. In contrast to Furfine (1999) we also identify longer-term transactions. We thereby gain a deeper insight on the size and structure of the unsecured interbank money market in Swiss francs. This is the first time that SIC data have been used to identify transactions and market rates in the unsecured Swiss franc money market. Overall, the estimates show that after the collapse of Lehman Brothers loss of confidence led to a freezing-up of the market for several months and a decrease in daily turnover.

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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2011-05.

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Length: 36 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:snb:snbwpa:2011-05

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Keywords: unsecured interbank money market; development; money market turmoil; financial stability; Switzerland;

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Cited by:
  1. Sébastien Kraenzlin & Martin Schlegel, 2009. "Bidding Behavior in the SNB's Repo Auctions," Working Papers 2009-14, Swiss National Bank.
  2. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  3. Raphael Auer & Sebastien Kraenzlin, 2011. "International liquidity provision during the financial crisis: a view from Switzerland," Globalization and Monetary Policy Institute Working Paper 75, Federal Reserve Bank of Dallas.
  4. Anna Kovner & David Skeie, 2013. "Evaluating the quality of fed funds lending estimates produced from Fedwire payments data," Staff Reports 629, Federal Reserve Bank of New York.
  5. Raphael Auer & Sebastien Kraenzlin & David Liebeg, 2012. "How Do Austrian Banks Fund Their Swiss Franc Exposure?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24.
  6. Sébastien Philippe Kraenzlin & Thomas Nellen, 2012. "Access policy and money market segmentation," Working Papers 2012-12, Swiss National Bank.
  7. Sébastien Philippe Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
  8. repec:onb:oenbwp:y:2012:i:24:b:1 is not listed on IDEAS

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