Arbeitspapier
Uncollateralized overnight loans settled in LVTS
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion. This makes the market slightly larger than the brokered repo market but only about one-tenth of the estimate for the direct trade repo market. The implied uncollateralized overnight rate was found to be remarkably stable relative to other measures of the overnight rate. Loan rates are found to vary with market conditions, the size of the loan, and the type (big vs. small) of the borrower and lender.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2007-11
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Financial markets
Interest rates
Finanzmarkt
Tagesgeldmarkt
Zins
Kanada
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hendry, Scott
Kamhi, Nadja
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2007
- DOI
-
doi:10.34989/swp-2007-11
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hendry, Scott
- Kamhi, Nadja
- Bank of Canada
Entstanden
- 2007
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