Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID

Artikel

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include events before, during, and after the recent financial crisis starting in 2007. Our first result is that, from a practical point of view, the intraday yield curve can be modeled by standard models for yield curves providing advantages for intraday trading on intraday interbank credit markets. Moreover, the estimates show that the systematic dynamics in the intraday yield curves during the turmoil were highly noticeable, resulting in a significantly better goodness-of-fit. Based on this fact, we infer that investors in the interbank credit market base their investment decisions on the effects of the intraday dynamics of intraday interest rates more intensively during a financial crisis. Therefore, the systematic impact on the e-MID appears to be stronger and econometric modeling of the intraday interest rate curve becomes even more attractive during a turmoil.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 5 ; Pages: 1-23 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Financial Econometrics ; Interest Rates: Determination, Term Structure, and Effects ; Financial Crises
• Subject: e-MID ; financial crisis ; interbank credit market ; intraday yield curve estimation ; Nelson-Siegel model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Demertzidis, Anastasios ; Jeleskovic, Vahidin
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14050212
• Handle: http://hdl.handle.net/10419/239628
• Last update: 10.03.2025, 11:45 AM CET