IDEAS home Printed from https://ideas.repec.org/p/bca/bocawp/07-11.html
   My bibliography  Save this paper

Uncollateralized Overnight Loans Settled in LVTS

Author

Listed:
  • Scott Hendry
  • Nadja Kamhi

Abstract

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.

Suggested Citation

  • Scott Hendry & Nadja Kamhi, 2007. "Uncollateralized Overnight Loans Settled in LVTS," Staff Working Papers 07-11, Bank of Canada.
  • Handle: RePEc:bca:bocawp:07-11
    as

    Download full text from publisher

    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-11.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    2. Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006. "Overnight interbank loan markets," Journal of Economics and Business, Elsevier, vol. 58(1), pages 67-83.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2016. "How to Measure the Unsecured Money Market: The Eurosystem’s Implementation and Validation Using TARGET2 Data," International Journal of Central Banking, International Journal of Central Banking, vol. 12(1), pages 247-280, March.
    2. repec:tiu:tiucen:bd09917e-4277-418c-8d8e-5bd5b8439fd3 is not listed on IDEAS
    3. Anna Kovner & David R. Skeie, 2013. "Evaluating the quality of fed funds lending estimates produced from Fedwire payments data," Staff Reports 629, Federal Reserve Bank of New York.
    4. Olivier Armantier & Adam Copeland, 2012. "Assessing the quality of “Furfine-based” algorithms," Staff Reports 575, Federal Reserve Bank of New York.
    5. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2014. "How to measure the unsecured money market? The Eurosystem�s implementation and validation using TARGET2 data," Questioni di Economia e Finanza (Occasional Papers) 215, Bank of Italy, Economic Research and International Relations Area.
    6. Edoardo Rainone & Francesco Vacirca, 2016. "Estimating the money market microstructure with negative and zero interest rates," Temi di discussione (Economic working papers) 1059, Bank of Italy, Economic Research and International Relations Area.
    7. Nellie Zhang, 2015. "Changes in Payment Timing in Canada’s Large Value Transfer System," Staff Working Papers 15-20, Bank of Canada.
    8. Carlos León & Jorge Cely & Carlos Cadena, 2016. "Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 91-125, Julio - D.
    9. Bartolini, Leonardo & Hilton, Spence & McAndrews, James J., 2010. "Settlement delays in the money market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 934-945, May.
    10. Alejandra Anastasi & Pedro Elosegui & Máximo Sangiácomo, 2010. "Call Money Interest Rate Determinants in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(57-58), pages 95-126, January -.
    11. Armantier, Olivier & Copeland, Adam, 2015. "Challenges in identifying interbank loans," Economic Policy Review, Federal Reserve Bank of New York, issue 21-1, pages 1-17.

    More about this item

    Keywords

    Financial markets; Interest rates;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:07-11. 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: (). General contact details of provider: http://www.bank-banque-canada.ca/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.