Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run

We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money market rates. We report strong evidence of a long-term linear relation between trading imbalances and liquidity prices for Euro interbank deposits.

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Year of publication:	2011-03
Authors:	Marzo, Massimiliano ; Zagaglia, Paolo
Institutions:	Rimini Centre for Economic Analysis (RCEA)
Subject:	Euro money market \| order flow \| interest rates

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G14 - Information and Market Efficiency; Event Studies ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008860733