文章基本信息

标题：369 - How to measure the unsecured money market? The Eurosystem’s implementation and validation using TARGET2 data
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作者：Luca Arciero ; Ronald Heijmans ; Richard Heuver 等
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2013
卷号：1
出版社：De Nederlandsche Bank
摘要：This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to three months. The implementation has been verified with (i) interbank money market transactions executed on the Italian trading platform e-MID and (ii) aggregated reporting by the EONIA panel banks. The Type 2 (false negative) error for the best performing algorithm setup is equal to 0.92%. The results focus on three levels: Eurosystem, core versus (geographical) periphery and countries (Italy and the Netherlands). The different stages of the global financial crisis and of the sovereign debt crises are clearly visible in the interbank money market, characterised by significant drops in the turnover. We find aggregated interest rates very close to the EONIA but we observe high heterogeneity across countries and market participants.
关键词：euro interbank money market; Furfine; TARGET2; financial stability; EONIA