The Overnight Interbank Market: Evidence from the G7 and the Euro Zone |
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4-day holiday Balduzzi Banque de France Bartolini basis points Canada Euro zone Canada U.K. Euro changes coefficients corridor costs country-specific variables daily Datastream Day after 5-day Day before 5-day days before last Deposits at central discount rate Discussion Papers Economics empirical end-month end-period end-quarter errors in parentheses European Central Bank exchange rate Federal Funds Rate France Italy Canada Fridays Germany France Italy Giuseppe Bertola Hamilton indicates significance industrial countries interbank markets interbank rates interest rate volatility intervention Italy Canada Euro Italy Canada U.K. Japan Germany France last day std liquidity effects maintenance period martingale hypothesis Monetary Policy O/N rate O/N p-value policy rates previous and following rate O/N rate ratio of last ratio of Monday ratio to standard regressions reserve markets reserve ratios reserve requirements sample seigniorage settlement days settlement-day volatility short-term interest rates significantly Table U.K. Euro zone United Kingdom United States Japan variance equation Wald tests