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

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contributor.authorBarucci, Emilio-
contributor.authorImpenna, Claudio-
contributor.authorReno, Roberto-
date.accessioned2005-10-17T10:08:21Z-
date.available2005-10-17T10:08:21Z-
date.issued2003-07-
identifier.urihttp://ssrn.com/abstract=416300-
identifier.urihttp://hdl.handle.net/2108/65-
description.abstractThis 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 efficientlyen
format.extent721661 bytes-
format.mimetypeapplication/pdf-
language.isoenen
publisherCEISen
relation.ispartofseriesCEIS Tor Vergata Research Paperen
relation.ispartofseries24en
subjectovernight marketen
subjectinterest rateen
subjectpayment systemen
titleThe Italian overnight market: microstructure effects, the Martingale hypothesis and the payment systemen
typeArticleen
subject.jelE42; Monetary standards and regimes, government and the monetary systemen
subject.jelE43; Determination of interest rates, term structure of interest ratesen
subject.jelE50; Monetary policy, central banking, and the supply of money and credit. Generalen
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