Overnight interbank markets and the determination of the interbank rate: A selective survey

Green, Christopher J.; Bai, Ye; Murinde, Victor; Ngoka, Kethi; Maana, Isaya; Tiriongo, Samuel

doi:10.1016/j.irfa.2016.01.014

Cited by 10 publications

(5 citation statements)

References 94 publications

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“…The interbank market plays a key role in the monetary and payments system of an economy and serves to relay essential safety measures for banking and financial institutions (Green et al, 2016). Financial institutions facing the danger of insolvency or illiquidity (e.g.…”

Section: Related Literaturementioning

confidence: 99%

Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach

Lartey

James

Danso

2021

International Review of Financial Analysis

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Section: Related Literaturementioning

confidence: 99%

Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach

Lartey

James

Danso

2021

International Review of Financial Analysis

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“…Due to the fact that the overnight segment is the most important segment of the interbank credit market (Green et al 2016) and given our calculations that about 90% of credits, in terms of volume and absolute number of credits, on the e-MID are overnight credits, it is intuitive to take into account the intraday dynamics of the yield curve of overnight credits and to model them by applying the NSM.…”

Section: Introductionmentioning

confidence: 99%

Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID

Demertzidis

Jeleskovic

2021

JRFM

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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.

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“…Overnight interbank markets provide facilities for the banking system to manage, pool and redistribute its reserves (Green et al , 2016). Interbank markets provide lending and deposit facilities more efficiently to predict the financing distress (Green, 2011).…”

Section: Introductionmentioning

confidence: 99%

Impacts of monetary instruments on overnight spread under the interest rate corridor framework: evidence from China

Chang

Fang

Hong

et al. 2021

BPMJ

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PurposeTo verify the effectiveness of the monetary policy, the impacts of monetary instruments on overnight spread under the interest rate corridor (IRC) are examined. The People's Bank of China (PBC) has operated the IRC since 2014. To understand the impacts of monetary instruments on overnight spread before and after the IRC framework, the complete samples are divided into two periods.Design/methodology/approachTo model the overnight spread, an exponential GARCH (EGARCH) approach is used which can examine the interbank market interest rates for monetary policy purposes. The overnight money market plays an important role in the implementation of monetary policy.FindingsChinese interest rate liberalization and the implementation of IRC affect the overnight spread in the short-term financing market. Before the implementation of the IRC, the key factor to affect the overnight spread is mainly affected by the PBC's monetary policy control on the liquidity supply side. After the implementation of IRC, the overnight spread can be the largest part explained by the liquidity demand side and the PBC's multiple monetary instruments have significant impacts on the reduction of overnight spread.Originality/valueThe overnight spread has recently been influenced by various factors that are directly or closely related to the monetary policy instruments and the interest rate policy of the PBC. Chinese interest rate liberalization and the implementation of interest rate corridor policy affect the overnight spread in the short-term financing market.

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Overnight interbank markets and the determination of the interbank rate: A selective survey

Cited by 10 publications

References 94 publications

Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach

Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach

Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID

Impacts of monetary instruments on overnight spread under the interest rate corridor framework: evidence from China

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