DP3090 The Overnight Interbank Market: Evidence from the G7 and the Euro Zone

Author(s):	Leonardo Bartolini, Giuseppe Bertola, Alessandro Prati
Publication Date:	February 2002
Keyword(s):	central bank operating procedures, interest rates, reserve requirements
JEL(s):	E43, E52, E58
Programme Areas:	International Macroeconomics, Financial Economics
Link to this Page:	cepr.org/active/publications/discussion_papers/dp.php?dpno=3090

We study the interbank markets for overnight loans of the major industrial countries, linking the behaviour of short-term interest rates to the operating procedures of these countries? central banks. We find that many of the key behavioural features of US federal funds rates, on which previous studies have focused, are not robust to changes in institutional details, along both cross-sectional and time-series dimensions of the data. Our results indicate that central banks? operating procedures and intervention styles play a crucial role in shaping empirical features of short-term interest rates? day-to-day behaviour in industrial countries.