|
DSpace - Tor Vergata >
Facoltà di Economia >
CEIS - Centre for International Studies on Economic Growth >
Research papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2108/65
|
Full metadata record
| DC Field | Value | Language |
|---|
| contributor.author | Barucci, Emilio | - |
| contributor.author | Impenna, Claudio | - |
| contributor.author | Reno, Roberto | - |
| date.accessioned | 2005-10-17T10:08:21Z | - |
| date.available | 2005-10-17T10:08:21Z | - |
| date.issued | 2003-07 | - |
| identifier.uri | http://ssrn.com/abstract=416300 | - |
| identifier.uri | http://hdl.handle.net/2108/65 | - |
| description.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 | en |
| format.extent | 721661 bytes | - |
| format.mimetype | application/pdf | - |
| language.iso | en | en |
| publisher | CEIS | en |
| relation.ispartofseries | CEIS Tor Vergata Research Paper | en |
| relation.ispartofseries | 24 | en |
| subject | overnight market | en |
| subject | interest rate | en |
| subject | payment system | en |
| title | The Italian overnight market: microstructure effects, the Martingale hypothesis and the payment system | en |
| type | Article | en |
| subject.jel | E42; Monetary standards and regimes, government and the monetary system | en |
| subject.jel | E43; Determination of interest rates, term structure of interest rates | en |
| subject.jel | E50; Monetary policy, central banking, and the supply of money and credit. General | en |
| Appears in Collections: | Research papers
|
Files in This Item:
| File |
Description |
Size | Format |
|---|
| ssrn-id416300.pdf | | 704Kb | Adobe PDF | View/Open |
|
Show simple item record
All items in DSpace are protected by copyright, with all rights reserved.
|
