Add to ORKGBy analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.Intraday interest rate Liquidity crisis Money market
We study overnight interbank interest rates paid by banks in Norway over the period 2006-2009. We ob...
We present a study of the European electronic interbank market of overnight lending (e-MID) before a...
We study international interbank spreads within a no‐arbitrage dynamic term structure model and atte...
By analyzing high frequency data for the European interbank market, we show that the implicit intrad...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
This paper estimates the intraday value of money implicit in the UK unsecured overnight money market...
We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market c...
International audienceWe study at an individual level the prices that banks pay for liquidity, measu...
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the ...
We investigate the effects of central bank liquidity and possible implicit government guarantees aga...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper analyses the functioning of the overnight unsecured euro money market during the ongoing ...
We study overnight interbank interest rates paid by banks in Norway over the period 2006-2009. We ob...
We present a study of the European electronic interbank market of overnight lending (e-MID) before a...
We study international interbank spreads within a no‐arbitrage dynamic term structure model and atte...
By analyzing high frequency data for the European interbank market, we show that the implicit intrad...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday p...
This paper estimates the intraday value of money implicit in the UK unsecured overnight money market...
We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market c...
International audienceWe study at an individual level the prices that banks pay for liquidity, measu...
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the ...
We investigate the effects of central bank liquidity and possible implicit government guarantees aga...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper analyses the functioning of the overnight unsecured euro money market during the ongoing ...
We study overnight interbank interest rates paid by banks in Norway over the period 2006-2009. We ob...
We present a study of the European electronic interbank market of overnight lending (e-MID) before a...
We study international interbank spreads within a no‐arbitrage dynamic term structure model and atte...