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

Iori, Giulia, Politi, Mauro, Germano, Guido and Gabbi, Giampaolo (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, 2. pp. 179-202. ISSN 2282-717X

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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.

Item Type:	Article
Official URL:	http://www.jfmi.mulino.it/
Additional Information:	© 2015 Società editrice il Mulino
Divisions:	Systemic Risk Centre
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	02 Sep 2016 11:56
Last Modified:	12 Dec 2024 01:01
Projects:	ES/K002309/1
Funders:	Economic and Social Research Council
URI:	http://eprints.lse.ac.uk/id/eprint/67565

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