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Banks' strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market

Iori, G; Politi, M; Germano, G; Gabbi, G; (2015) Banks' strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market. Journal of Financial Management, Markets and Institutions , 2015 (2) pp. 179-202. 10.12831/82212. Green open access

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Abstract

We present an empirical analysis of the European electronic interbank market of overnight lending e-MID during the years 1999-2009. After introducing the market mechanism, we consider the activity, defined as the number of trades per day; the spreads, defined as the difference between the rate of a transaction and the key rates of the European Central Bank; the lending conditions, defined as the difference between the costs of a lent and a borrowed Euro; the bank strategies, defined through different variants of the cumulative volume functions; etc. Among other facts, it emerges that the lending conditions differ from bank to bank, and that the bank strategies are not strongly associated either to the present, past or future spreads. Moreover, we show the presence of a bid-ask spread-like effect and its behavior during the crisis.

Type: Article
Title: Banks' strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market
Location: Italy
Open access status: An open access version is available from UCL Discovery
DOI: 10.12831/82212
Publisher version: http://dx.doi.org/10.12831/82212
Language: English
Additional information: Copyright © Società editrice il Mulino 2015.
Keywords: overnight interbank market, subprime crisis, cost of money, e-MID
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/1475026
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