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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/65

Title: The Italian overnight market: microstructure effects, the Martingale hypothesis and the payment system
Authors: Barucci, Emilio
Impenna, Claudio
Reno, Roberto
Keywords: overnight market
interest rate
payment system
Issue Date: Jul-2003
Publisher: CEIS
Series/Report no.: CEIS Tor Vergata Research Paper
24
Abstract: This paper analyzes the Italian segment of the Eurozone money market since the start of the European Monetary Union. Some relevant variables are analyzed at different frequencies (intramonth, intraweek and intraday): both level and volatility of the overnight interest rate, volume exchanged in the Italian overnight market, domestic and cross-border large value payments channeled in the Italian real-time gross settlement system (BI-REL). Patterns against the martingale hypothesis on the short-term interest rate are detected, and the relationship between the payment flows and the rate itself is investigated. Overall, evidence comes out that in the new framework Italian banks seem to manage liquidity efficiently
URI: http://ssrn.com/abstract=416300
http://hdl.handle.net/2108/65
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