Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market
The paper presents a simple theory of intraday behavior in the interbank market. The timing of borrowing and lending operations depends on the information available on two key variables: the end-of-day balance from the clearing system--the algebraic sum of incoming (+) and outgoing (-) daily payments--and the short-term interest rate. When the former is the relevant source of uncertainty, risk-averse banks should tend to operate close to the end of the business day, when the balance becomes observable. Conversely, when the interbank rate is relatively more volatile, operations should be shifted to the early morning, when the balance is not observable but the rate is. The theory is found to be consistent with banks' behavior in the Italian interbank market.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 32 (2000)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879|
When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:32:y:2000:i:1:p:54-73. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.