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Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-

Author

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  • Anastasios Demertzidis

    (University of Kassel)

Abstract

The focus of this paper lies in the study of the intraday distribution of the number of transactions and transaction volume (absolute and mean per transaction) in the interbank credit market e-MID in different market states around the events of the financial crisis of 2007. The results show that the distributions of the number and of the volume of transactions can be characterized as U-shaped and the distribution of the mean per transaction as three-peaked. However, there are important differences when it comes to the comparison of the different market states and the differentiation between sell and buy transactions. Moreover, this study detects stylized facts about the market regarding the number of trades and the volume during the day. Sell transactions are higher in each market state. This highlights the fact that this market is used widely to deposit excessive liquidity in all intervals during the day. Furthermore, differences within these variables during different market states can be observe, which highlights the importance of this analysis. This study can strengthen our understanding of the interbank credit market as it is important for policy makers and the daily trading strategies of banks. Additionally, implications can be seen as the basis for further empirical and econometric research.

Suggested Citation

  • Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:201932
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    More about this item

    Keywords

    Interbank credit market; e-MID; intraday frequency; financial crisis;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Y10 - Miscellaneous Categories - - Data: Tables and Charts - - - Data: Tables and Charts

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