Bank behavior, interest rate determination, and monetary policy in a financial system with an intraday federal funds market

Hoose, David D. Van

doi:10.1016/0378-4266(91)90072-t

Cited by 54 publications

(9 citation statements)

References 9 publications

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“…Based on data from the secured overnight market in Switzerland, we show that a downward‐sloping intraday term structure has existed at least since the introduction of the Swiss franc repo market in 1999. This is additional evidence for the theoretical results by VanHoose (1991) and Angelini (1998).…”

Section: Comparisons and Conclusionsupporting

confidence: 82%

“…Using a neoclassical monetary model, they show that if intraday credit is available from the central bank on a collateralized basis, RTGS will impose an intraday liquidity cost. This also mirrors the theoretical findings outlined in VanHoose (1991) and Angelini (1998), where a model of a bank's intraday liquidity management in an RTGS system is applied.…”

supporting

confidence: 79%

“…The theoretical literature represented by VanHoose (1991) and Angelini (1998) postulates the emergence of an intraday interest rate in the interbank market. Baglioni and Monticini (2008) perceive the empirical evidence on the price of intraday liquidity to be rare and inconclusive.…”

Section: Comparisons and Conclusionmentioning

confidence: 99%

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Daytime Is Money

Kraenzlin¹,

Nellen²

2010

J of Money Credit Banking

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Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable insights into the daytime value of money. In analogy to Baglioni and Monticini (2008), we provide evidence that an implicit intraday money market exists. We further show that the introduction of foreign exchange settlement system, Continuous Linked Settlement, increased the implicit value of intraday liquidity during settlement cycle hours, thus providing further evidence of the cost of immediacy. Finally, we provide evidence that during the financial market turmoil the implicit intraday interest in a secured money market was less affected than that in an unsecured money market.

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Section: Comparisons and Conclusionsupporting

confidence: 82%

supporting

confidence: 79%

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Daytime Is Money

Kraenzlin¹,

Nellen²

2010

J of Money Credit Banking

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“…On theoretical grounds, the emergence of an intraday interest rate in the interbank market has been advocated by VanHoose (1991) and Angelini (1998): they both model bank liquidity management at an intraday level, distinguishing between a “morning session” and an “afternoon session.” Despite some differences (the former focuses on trading in the interbank market, while the latter focuses on the timing of payment orders processing), they reach the same basic results: (i) a positive value of the intraday interest rate emerges as the equilibrium level in the interbank market, (ii) such a level crucially depends on the price of daylight overdrafts charged by the central bank, 5 and (iii) the intraday interest rate is equal to the difference between the overnight rate on interbank loans delivered in the morning and the rate on loans delivered in the afternoon.…”

Section: Identifying Intraday Interest Ratesmentioning

confidence: 99%

The Intraday Price of Money: Evidence from the e‐MID Interbank Market

Baglioni¹,

Monticini²

2008

J of Money Credit Banking

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We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid-1990s: we explain this evolution as an outcome of the recent trend toward real-time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit. Copyright (c) 2008 The Ohio State University.

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“…The implicit cost specification in (2) is a single-period version of the functional form considered by Elyasianai et al [1995] and is a slightly simplified version of the one used by VanHoose [1991]. The assumption that v0 > •0 is sufficient to permit positive intercepts for the bank demand and supply functions.…”

Section: The Banking and Financial Sector Frameworkmentioning

confidence: 99%

Macroeconomic stability in a free banking system

VanHoose

1997

Atlantic Economic Journal

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Bank behavior, interest rate determination, and monetary policy in a financial system with an intraday federal funds market

Cited by 54 publications

References 9 publications

Daytime Is Money

Daytime Is Money

The Intraday Price of Money: Evidence from the e‐MID Interbank Market

Macroeconomic stability in a free banking system

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