Paper #474

Título:

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

Autores:

Gabriel Pérez Quirós y Hugo Rodríguez

Data:

Julio 2000

Resumen:

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.

Palabras clave:

Overnight rates, reserve demand, Martingale hypothesis

Códigos JEL:

E44, E52

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

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

Descargar el paper en formato PDF