Molling Inter- and Intraday Payment Flows
In this paper we examine the interday and intraday time pattern of Dutch banks' payments and which events, institutional and financial variables influence these payment flows. The payment patterns are analyzed using data from the Dutch TOP system. In this paper it is shown that announcements of the ECB concerning interest rates have no effect on the inter- and intraday pattern of the payments. On the last day of the reserve maintenance period we find an increase in the value of payments. The settlement's days of the interest rate tenders have a positive effect on the value of payments, while the announcement and allotment of interest rate tenders have no effect on the interday pattern. During US banking holidays there is a sharp decrease in the total value, number and average value of the payments. The day before and after a US banking holiday there is an increase in the value and number of payments. These effects of a US banking holiday are especially measurable in the mornings. During holidays in the Netherlands the number and value of transactions decrease. The main result for our intraday data is that banks tend to settle their payments more and more in the same time interval.
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- Todd E. Clark & Michael McCracken, 1999.
"Tests of Equal Forecast Accuracy and Encompassing for Nested Models,"
Computing in Economics and Finance 1999
1241, Society for Computational Economics.
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- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Heij, Christiaan & de Boer, Paul & Franses, Philip Hans & Kloek, Teun & van Dijk, Herman K., 2004. "Econometric Methods with Applications in Business and Economics," OUP Catalogue, Oxford University Press, number 9780199268016, December.
- James J. McAndrews & Samira Rajan, 2000. "The timing and funding of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 17-32.
- Angelini, Paolo, 2000. "Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(1), pages 54-73, February.
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