The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone

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Staff Reports

The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone

September 2001 Number 135

JEL classification: E43, E52, E58

Authors: Alessandro Prati, Leonardo Bartolini, and GiuseppeBertola

This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find that many of these features are not robust to changes in institutional details and in the style of central bank intervention, along both cross-sectional and time-series dimensions of our data. Our results suggest that the empirical features of the day-to-day behavior of short-term interest rates are more strongly influenced by institutional arrangements than by extensively researched market frictions.

Available only in PDF PDF

41 pages / 491 kb

For a published version of this report, see Alessandro Prati, Leonardo Bartolini, and Giuseppe Bertola, "The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone," Journal of Banking and Finance 27, no. 10 (October 2003): 2045-83.

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