This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of...

This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of...

The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...

This paper discusses the use of interest rates as the operating target for monetary policy in Tunisia and the roadmap for establishing the other building blocks of an inflation targeting framework. It argues that strengthening the effectiveness of the current monetary policy framework will...

French Abstract: Sur base de données relatives à 300 actions cotées sur le NYSE, nous montrons que les variations de liquidité qui affectent l’ensemble des actifs d’un portefeuille sont influencées par la capitalisation boursière de ces actifs. Nous montrons également que les crises...

Under Basel III, the current international banking regulation, banks must maintain two Tier 1 capital ratios that treat risky assets differently. The Basel Committee uses the critical average risk weight (CARW) framework developed by the Bank of England to determine which ratio is the binding...