Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market

Iori, G., Politi, M., Germano, G. & Gabbi, G. (2015). Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market. The Journal of Financial Management, Markets and Institutions, 3(2), pp. 179-202. doi: 10.12831/82212

[img]
Preview
Text - Accepted Version
Download (677kB) | Preview

Abstract

We present an empirical analysis of the European electronic interbank market of overnight lend- ing e-MID during the years 1999–2009. After introducing the peculiar market mechanism, we consider the activity, defined as the number of trades per day; the spreads, defined as the differ- ence between the rate of a transaction and the key rates of the European Central Bank; the lending conditions, defined as the difference between the costs of a lent and a borrowed Euro; the bank strategies, defined through different variants of the cumulative volume functions; etc. Among other facts, it emerges that the lending conditions differ from bank to bank, and that the bank strategies are not strongly associated either to the present, past or future spreads. Moreover, we show the presence of a bid-ask spread-like effect and its behavior during the crisis.

Item Type: Article
Uncontrolled Keywords: overnight interbank market; subprime crisis; cost of money; e-MID
Subjects: H Social Sciences > HG Finance
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/13321

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics