The microstructure of the euro money market

Journal of International Money and Finance

Volumn 20, Issue 6, 2001, Pages 895-948

  Hartmann, Philipp ^a   Manna, Michele ^a   Manzanares, Andrés ^a  

^a EUROPEAN CENTRAL BANK   (Germany)

Author keywords

E43; E52; Euro; Financial market microstructure; G14; High frequency data; Liquidity; Monetary policy instruments; Money market; Open market operations; Overnight deposit rates; Payment systems; Reserve requirements; Trading volume; Transaction costs; Volatility

Indexed keywords

EID: 0009942708     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(01)00029-8     Document Type: Article

References (51)

1. Angelini P. Are banks risk-averse? A note on the intraday timing of operations in the interbank market. Journal of Money, Credit, and Banking. 32(1):2000;54-73.
2. Angeloni I., Gaspar V., Tristani O. The monetary policy strategy of the ECB. Cobham D., Zis G. From EMS to EMU. 1999;3-42 Macmillan, London.
3. Ayuso, J., Repullo, R., 2000. A model of the open market operations of the Eurosystem, Paper presented at the Center for European Integration Studies conference Central Bank Operations: Theory and Evidence, Frankfurt, 22-23 September.
4. L'adaptation des banques françaises au nouveau cadre opérationnel de la politique monétaire. Bulletin de la Banque de France. 68(aout):1999;47-63.
5. Bartolini, L., Bertola, G., Prati, A., 1998. Day-to-day monetary policy and the volatility of the federal funds interest rate, EUI Working Paper ECO, no. 98/35, European University Institute, November.
6. Bhattacharya S., Fulghieri P. Uncertain liquidity and interbank contracting. Economics Letters. 44:1994;287-294.
7. Bhattacharya S., Gale D. Preference shocks, liquidity, and central bank policy. Barnett W.A., Singleton K.J. New Approaches to Monetary Economics. 1987;69-88 Cambridge University Press, Cambridge, UK.
8. Bindseil U., Mercier P. The single monetary policy and some aspects of its implementation. Thøgersen Ø. Økonomisk politikk i en turbulent verdensøkonomi. 1999;61-92 Fagbokforlaget, Bergen2.
9. Bindseil, U., Seitz, F., 2001. The supply and demand for Eurosystem deposits - The first 18 months, ECB Working Paper, no. 44, February.
10. Blenck, D., 2000. Main features of the monetary policy frameworks of the Bank of Japan, the Federal Reserve System and the Eurosystem, Paper presented at the ECB conference, The Operational Framework of the Eurosystem and Financial Markets, Frankfurt, 5-6 May.
11. Borio, C.E.V., 1997. The implementation of monetary policy in industrial countries, BIS Economic Papers, no. 47, Bank for International Settlements, Basel, July.
12. Breitung, J., Nautz, D., 2000. How German banks bid in the Eurosystem's repo auctions: evidence from a panel data analysis, Paper presented at the Center for European Integration Studies conference, Central Bank Operations: Theory and Evidence, Frankfurt, 22-23 September.
13. Campbell J.Y. Money announcements, the demand for bank reserves, and the behaviour of the federal funds rate within the statement week. Journal of Money, Credit, and Banking. 19(1):1987;56-67.
14. Dacorogna M., Müller U., Nagler R., Olsen R., Pictet O. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market. Journal of International Money and Finance. 12:1993;413-438.
15. De Bandt, O., Hartmann, P., 2000. Systemic risk: a survey, ECB Working Papers, no. 35, November.
16. Detken C., Hartmann P. The euro and international capital markets. International Finance. 3(1):2000;53-94.
17. Die Integration des deutschen Geldmarkts in den einheitlichen Euro-Geldmarkt. Monatsberichte der Deutschen Bundesbank. January:2000;15-32.
18. Ehrhart, K.M., 2000. Repo auctions: experimental investigation, Paper presented at the Center for European Integration Studies conference Central Bank Operations: Theory and Evidence, Frankfurt, 22-23 September.
19. Eijffinger S.C.W., Lemmen J.J.G. Money market integration in Europe. Swiss Journal of Economics and Statistics. 131(1):1995;3-37.
20. Escrivá, J.L., Fagan, G.P., 1996. Empirical assessment of monetary policy instruments and procedures (MPIP) in EU countries, EMI Staff Paper, no. 2, European Monetary Institute, Frankfurt, May.
21. European Central Bank, 1998a. Conditions for the participation of non-euro area EU national central banks and credit institutions in TARGET, ECB Press Release, Frankfurt, 8 July.
22. European Central Bank, 1998b. The single monetary policy in Stage Three: general documentation on ESCB monetary policy instruments and procedures, Frankfurt, September.
23. The stability-oriented monetary policy strategy of the Eurosystem. ECB Monthly Bulletin. January:1999;39-50.
24. European Central Bank, 1999b. Treasury activities affecting the liquidity situation in the euro area, ECB Monthly Bulletin, July, 16f.
25. European Central Bank, 2000a. The TARGET system, ECB Monthly Bulletin, March, 63*f.
26. European Central Bank, 2000b. Switch to variable rate tenders in main refinancing operations: some technical details, ECB Press Release, Frankfurt, 16 June.
27. European Central Bank, 2000c. The single monetary policy in Stage Three: General documentation on Eurosystem monetary policy instruments and procedures (update of the 1998 edition), Frankfurt, November.
28. Fleming M. The round-the-clock market for US treasury securities. FRBNY Economic Policy Review. July:1997;9-32.
29. Freixas, X. and C. Holthausen, 2001. Interbank market integration under asymmetric information, mimeo., Frankfurt, April.
30. Furfine C.H. The microstructure of the federal funds market. Financial Markets, Institutions, and Instruments. 8(5):1999;24-44.
31. Gajewski J.F. Earnings announcements, trades and quotes. European Financial Management. 5(30):1999;411-424.
32. Gaspar, V., G. Perez-Quiros and J. Sicilia, 2001. The ECB monetary policy strategy and the money market, mimeo., Frankfurt, May.
33. Griffiths M.D., Winters D.B. Day-of-the-week effects in federal funds rates: further empirical findings. Journal of Banking and Finance. 19(7):1995;1265-1284.
34. Hamilton J.D. The daily market for federal funds. Journal of Political Economy. 104(1):1996;26-56.
35. Hartmann P. Do Reuters spreads reflect currencies' differences in global trading activity. Journal of International Money and Finance. 17(4):1998;757-784.
36. Hartmann P. Trading volumes and transaction costs in the foreign exchange market - evidence from daily dollar-yen spot data. Journal of Banking and Finance. 23(4):1999;801-824.
37. Hartmann, P., Manna, M., Manzanares, A., 2001. The microstructure of the euro money market, ECB Working Paper, forthcoming.
38. Ho T.S.Y., Saunders A. A micro model of the federal funds market. Journal of Finance. 40(3):1985;977-990.
39. Hong H., Wang J. Trading and returns under periodic market closures. Journal of Finance. 55(1):2000;297-354.
40. Kim O., Verrecchia R.E. Market reaction to anticipated announcements. Journal of Financial Economics. 30(2):1991;273-309.
41. Kim O., Verrecchia R.E. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics. 17(1-2):1994;41-67.
42. Lee C., Mucklow B., Ready M. Spreads, depth and the impact of earnings information: an intraday analysis. Review of Financial Studies. 6(2):1993;345-374.
43. Manna, M., Pill, H., Quirós, G., forthcoming. The Eurosystem's operational framework in the context of the ECB's monetary policy strategy, forthcoming in International Finance.
44. Milgrom P., Stokey N. Information, trade and common knowledge. Journal of Economic Theory. 26(1):1982;17-27.
45. Nautz, D., Oechsler, J., 1999. The repo auctions of the European Central Bank and the vanishing quota puzzle, QSE Discussion Paper, no. 79, Humboldt-Universität zu Berlin.
46. Nyborg, K., Strebulaev, I.A., 2000. Multiple unit auctions and short squeezes, Paper presented at the Center for European Integration Studies conference, Central Bank Operations: Theory and Evidence, Frankfurt, 22-23 September.
47. Perez-Quiros, G., Rodriguez, H., 2000. The daily market for funds in Europe: has something changed after the EMU?, Paper presented at the ECB conference, The Operational Framework of the Eurosystem and Financial Markets, Frankfurt, 5-6 May.
48. Santillàn, J., Bayle, M., Thygesen, C., 2000. The impact of the euro on money and bond markets, ECB Occasional Paper, no. 1, European Central Bank, Frankfurt, July.
49. Spindt P.A., Hoffmeister J.R. The micromechanics of the federal funds market: implications for day-of-the-week effects in funds rate variability. Journal of Financial and Quantitative Analysis. 23(4):1988;401-416.
50. Vergara, P., 2000. The performance of the operational framework of the Eurosystem since the introduction of the euro: a market appraisal, Paper presented at the ECB conference, The Operational Framework of the Eurosystem and Financial Markets, Frankfurt, 5-6 May.
51. Wood R.A., McInish T.H., Ord J.K. An investigation of transactions data for NYSE stocks. Journal of Finance. 40(3):1985;723-741.