Uncollateralized Overnight Loans Settled in LVTS
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion. This makes the market slightly larger than the brokered repo market but only about one-tenth of the estimate for the direct trade repo market. The implied uncollateralized overnight rate was found to be remarkably stable relative to other measures of the overnight rate. Loan rates are found to vary with market conditions, the size of the loan, and the type (big vs. small) of the borrower and lender.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada|
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Web page: http://www.bank-banque-canada.ca/
References listed on IDEAS
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- Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006.
"Overnight interbank loan markets,"
Journal of Economics and Business,
Elsevier, vol. 58(1), pages 67-83.
- Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
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