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The Intraday Price of Money: Evidence from the e-MID Interbank Market

  • ANGELO BAGLIONI
  • ANDREA MONTICINI

We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid-1990s: we explain this evolution as an outcome of the recent trend toward real-time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit. Copyright (c) 2008 The Ohio State University.

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Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 40 (2008)
Issue (Month): 7 (October)
Pages: 1533-1540

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Handle: RePEc:mcb:jmoncb:v:40:y:2008:i:7:p:1533-1540
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