Arbeitspapier
The intraday interest rate: What's that?
We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral constraints keeping banks from using the overdraft for arbitrage. Nevertheless, we find that in the crisis period a statistically and economically significant intraday spread (up to 60 basis points) prevailed that was only somewhat mitigated by the ECB's unconventional monetary policy measures. Our results show that this spread was mainly determined by the market liquidity of the repo market, suggesting that the intraday spread is largely a liquidity premium.
- ISBN
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978-3-95729-174-5
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 24/2015
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Financial Crises
General Financial Markets: General (includes Measurement and Data)
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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intraday interest rate
central counterparty
overnight repos
central bank intervention
financial crisis
- Event
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Geistige Schöpfung
- (who)
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Abbassi, Puriya
Fecht, Falko
Tischer, Johannes
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Abbassi, Puriya
- Fecht, Falko
- Tischer, Johannes
- Deutsche Bundesbank
Time of origin
- 2015
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Interest rate shocks, competition and bank liquidity creation
The interest rate exposure of euro area households
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What moves markets?
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