The daily market for funds in Europe: what has changed with the EMU
This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of the EMU. The analysis of the German experience is useful because it allows to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.
|Date of creation:||Sep 2003|
|Contact details of provider:|| Web page: http://www.bde.es/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001.
"The microstructure of the euro money market,"
Working Paper Series
0080, European Central Bank.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001.
"Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention,"
Journal of Banking & Finance,
Elsevier, vol. 25(7), pages 1287-1317, July.
- Leonardo Bartolini & Giuseppe Bertoli & Alessandro Prati, 2000. "Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," Econometric Society World Congress 2000 Contributed Papers 0123, Econometric Society.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
"The Overnight Interbank Market: Evidence from the G7 and the Euro Zone,"
CEPR Discussion Papers
3090, C.E.P.R. Discussion Papers.
- Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003. "The overnight interbank market: Evidence from the G-7 and the Euro zone," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2045-2083, October.
- Alessandro Prati & Leonardo Bartolini & Giuseppe Bertola, 2001. "The overnight interbank market: evidence from the G-7 and the Euro zone," Staff Reports 135, Federal Reserve Bank of New York.
- Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001.
"The ECB Monetary Policy Strategy and the Money Market,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 6(4), pages 325-342, October.
- Gaspar, Vítor & Pérez Quirós, Gabriel & Sicilia, Jorge, 2001. "The ECB monetary policy strategy and the money market," Working Paper Series 0069, European Central Bank.
- Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001. "The ECB monetary policy strategy and the money market," Working Papers 47, Oesterreichische Nationalbank (Austrian Central Bank).
- Escriva, J.L. & Fagan, F.P., 1996. "Empirical assessment of Monetary Policy Instruments and Procedures (MPIP) in EU Countries," Papers 2, European Monetary Institute.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention," Staff Reports 109, Federal Reserve Bank of New York.
- Campbell, John, 1987.
"Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week,"
3220231, Harvard University Department of Economics.
- Campbell, John Y, 1987. "Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 56-67, February.
- John Y. Campbell, 1986. "Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week," NBER Working Papers 1806, National Bureau of Economic Research, Inc.
- Spindt, Paul A. & Hoffmeister, J. Ronald, 1988. "The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 401-416, December.
- Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 0044, European Central Bank.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Giuseppe Bertola & Leonardo Bartolini & Alessandro Prati, 2000. "Banksâ€™ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," IMF Working Papers 00/163, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:0313. 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: (María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España)
If references are entirely missing, you can add them using this form.