Improving overnight loan identification in payments systems

Arbeitspapier

Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. The veracity of the data identified, however, is not well established. Using permutation methods, I estimate an upper bound on the daily false positive rate of this algorithm to be slightly above 10%. I propose refinements that reduce the bound below 10% with negligible power loss. The results suggest that the inferred prices and quantities of overnight loans do provide viable estimates of interbank lending market activity.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Working Paper ; No. 2014-25

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Financial Markets and the Macroeconomy ; Forecasting Models; Simulation Methods ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models ; General Financial Markets: General (includes Measurement and Data)
• Thema: Econometric and statistical methods ; Financial markets ; Interest rates ; Payment clearing and settlement systems

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Rempel, Mark
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2014

Weitere Informationen

• DOI: doi:10.34989/swp-2014-25
• Handle: http://hdl.handle.net/10419/103015
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ