Paper #474

Títol:

The daily market for funds in Europe: Has something changed with the EMU?

Autors:

Gabriel Pérez Quirós i Hugo Rodríguez

Data:

Juliol 2000

Resum:

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.

Paraules clau:

Overnight rates, reserve demand, Martingale hypothesis

Codis JEL:

E44, E52

Àrea de Recerca:

Macroeconomia i Economia Internacional

Publicat a:

Journal of Money, Credit and Banking, 38/1, 91-118, 2001

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