Market microstructure, bank's behaviour and interbank spreads
Download full text from publisher
References listed on IDEAS
- Iori, Giulia & Renò, Roberto & De Masi, Giulia & Caldarelli, Guido, 2007.
"Trading strategies in the Italian interbank market,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 376(C), pages 467-479.
- Iori, G. & Reno, R. & de Masi, G. & Caldarelli, G., 2006. "Trading strategies in the Italian interbank market," Working Papers 06/03, Department of Economics, City University London.
- Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli, 2006. "Trading strategies in the Italian interbank market," Papers physics/0611023, arXiv.org.
- Gaspar, Vítor & Pérez-Quirós, Gabriel & Rodriguez Mendizabal, Hugo, 2004.
"Interest Rate Determination in the Interbank Market,"
CEPR Discussion Papers
4516, C.E.P.R. Discussion Papers.
- Vítor Gaspar & Gabriel Pérez-Quirós & Hugo Rodríguez Mendizábal, 2004. "Interest rate determination in the interbank market," Working Papers 0407, Banco de España;Working Papers Homepage.
- Vitor Gaspar & Gabriel Pérez Quir? & Hugo Rodr?uez Mendiz?al, 2004. "Interest Rate Determination in the Interbank Market," UFAE and IAE Working Papers 603.04, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- 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.
- Michele Manna & Carmela Iazzetta, 2009. "The topology of the interbank market: developments in Italy since 1990," Temi di discussione (Economic working papers) 711, Bank of Italy, Economic Research and International Relations Area.
- Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008.
"A network analysis of the Italian overnight money market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 259-278, January.
- Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
- Silvia Gabrieli, 2010. "The functioning of the European interbank market during the 2007-08 financial crisis," CEIS Research Paper 158, Tor Vergata University, CEIS, revised 28 May 2010.
- François-Louis Michaud & Christian Upper, 2008. "What drives interbank rates? Evidence from the Libor panel," BIS Quarterly Review, Bank for International Settlements, March.
- Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
- Baglioni, Angelo & Monticini, Andrea, 2010.
"The intraday interest rate under a liquidity crisis: The case of August 2007,"
Elsevier, vol. 107(2), pages 198-200, May.
- Angelo Baglioni & Andrea Monticini, 2008. "The intraday interest rate under a liquidity crisis: the case of August 2007," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0083, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Tapking, Jens & Eisenschmidt, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank.
- Angelo Baglioni & Andrea Monticini, 2008. "The Intraday Price of Money: Evidence from the e-MID Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1533-1540, October.
- Viral V. Acharya & Ouarda Merrouche, 2013.
"Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis,"
Review of Finance,
European Finance Association, vol. 17(1), pages 107-160.
- Viral V. Acharya & Ouarda Merrouche, 2010. "Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis," NBER Working Papers 16395, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Merrouche, Ouarda, 2012. "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers 8859, C.E.P.R. Discussion Papers.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011.
"The Interbank Market after August 2007: What Has Changed, and Why?,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 43(5), pages 923-958, August.
- Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers) 731, Bank of Italy, Economic Research and International Relations Area.
- Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2004. "Interest rate determination in the interbank market," Working Paper Series 351, European Central Bank.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2015. "The role of bank relationships in the interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 118-141.
- Giampaolo Gabbi & Elisa Ticci, 2014. "Implications of financialisation for sustainability," Working papers wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
More about this item
Keywordsinterbank lending; market microstructure; subprime crisis; credit spreads; liquidity management;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-BAN-2012-10-20 (Banking)
- NEP-EEC-2012-10-20 (European Economics)
- NEP-FMK-2012-10-20 (Financial Markets)
StatisticsAccess and download statistics
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:cty:dpaper:12/06. 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: (Research Publications Librarian). General contact details of provider: http://edirc.repec.org/data/decituk.html .