A look at intraday frictions in the euro area overnight deposit market

Arbeitspapier

This paper studies frictions in the euro area interbank deposit overnight market, making use of high frequency individual quote and trade data. The aim of the analysis is to determine, in a quantitative way, how efficient this market is. Besides a comprehensive descriptive analysis, the approach used defines a measure of the friction arising for each single transaction, by which we understand an (small) initial loss accepted by a counterparty, and the corresponding gain made by the other counterparty. The evolution of total daily frictions is then put into perspective comparing it with the frictions arising if flows corresponded to the optimal solution of a “cash transportation problem”. The main conclusions of this exercise are that overall frictions, although small in absolute size, tend to increase strongly whenever the overnight rate becomes volatile. Some tentative explanations for this are given, relying on the introduced methodology.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 439

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Optimization Techniques; Programming Models; Dynamic Analysis
• Thema: Financial market microstructure ; Market friction ; money market ; Network optimization problems ; Geldmarkt ; Eurozone ; EU-Staaten ; Effizienzmarkthypothese

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Brousseau, Vincent ; Manzanares, Andrés
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/152873
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ