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- W121384982 abstract "This paper investigates the micromechanics of the Portuguese interbank money market using a unique high frequency data set from the Banco de Portugal. We analyse transaction volume, interest rates and counterpart behaviour in interbank loans. Our data covers complete details on all interbank loans and allows for a complete characterization of the functioning of the Portuguese interbank money market, its interaction with monetary policy instruments and banks' reserve management behaviour. There are only a few studies using transaction data on interbank money market loans. As such, we contribute with new stylized facts to a field that is scarcely researched due to the paucity of data. We expand on earlier empirical research investigating how do banks trade at a range of maturities beyond overnight. We find that overnight loans account for just above one-half of total interbank money market loans only. For the first time we gauge the importance of longer maturities and value-date loans for reserve management purposes. We find that banks have a tendency to hoard funds at the beginning of the reserve maintenance period while borrowing for long maturities. We show evidence of credit rationing behaviour, and also that market participation rates might explain interbank interest rates dynamics and observed calendar effects." @default.
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- W121384982 date "2005-01-01" @default.
- W121384982 modified "2023-09-30" @default.
- W121384982 title "The Micromechanics of the Portuguese Interbank Money Market" @default.
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- W121384982 doi "https://doi.org/10.2139/ssrn.673250" @default.
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