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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2014-25

Classification and Topics

• Classification: 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)
• Subject: Econometric and statistical methods ; Financial markets ; Interest rates ; Payment clearing and settlement systems

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rempel, Mark
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2014

Further information

• DOI: doi:10.34989/swp-2014-25
• Handle: http://hdl.handle.net/10419/103015
• Last update: 10.03.2025, 11:43 AM CET