IDEAS home Printed from https://ideas.repec.org/p/ecb/ecbwps/2008987.html
   My bibliography  Save this paper

Probability of informed trading on the euro overnight market rate: an update

Author

Listed:
  • Idier, Julien
  • Nardelli, Stefano

Abstract

In this paper the probability of informed trading (PIN) model developed by Easley and O'Hara (1992) is applied to analyze the role and impact of heterogeneities in euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN which measures the ability of traders to interpret signals on the expected evolution of the overnight rate. Results show that between 2000 and 2004 a heterogeneous learning process of market mechanisms within participants could be observed, whereas such asymmetries have been sharply decreasing since 2005. This is reviewed against some significant events that occurred in the euro money market, such as the reform of the Eurosystem's operational framework in March 2004 and the recent financial market turmoil, which has represented a break in the steady decline of asymmetries as evidence suggest. JEL Classification: G14, E52

Suggested Citation

  • Idier, Julien & Nardelli, Stefano, 2008. "Probability of informed trading on the euro overnight market rate: an update," Working Paper Series 987, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:2008987
    Note: 658898
    as

    Download full text from publisher

    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp987.pdf
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area : what has changed during the turmoil?," Research Discussion Papers 23/2008, Bank of Finland.
    2. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers 23/2008, Bank of Finland.
    3. repec:zbw:bofrdp:2008_023 is not listed on IDEAS
    4. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2012. "Structural Distortions in the Euro Interbank Market: The Role of 'Key Players' during the Recent Market Turmoil," Working Paper series 57_12, Rimini Centre for Economic Analysis.
    5. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
    6. Renaud Beaupain & Alain Durr�, 2011. "Inferring trading dynamics for an OTC market: the case of the euro area overnight money market," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1285-1295, October.
    7. Paolo Zagaglia, 2010. "Did the turmoil affect money-market segmentation in the Euro area?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1783-1788.

    More about this item

    Keywords

    microstructure; money markets; PIN model;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    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:ecb:ecbwps:2008987. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.