Estimating the money market microstructure with negative and zero interest rates

DOI10.1080/14697688.2019.1665703zbMath1448.91310OpenAlexW3123992872MaRDI QIDQ5121490

Edoardo Rainone, Francesco Vacirca

Publication date: 14 September 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2016/2016-1059/en_tema_1059.pdf

zbMATH Keywords

measurement errormarket microstructureLASSOinterbank marketspayment systemsnegative interest ratesTARGET2trading networksFurfine algorithm

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Risk Assessment for Banking Systems
• Relationship Lending in the Interbank Market and the Price of Liquidity
• Trade Dynamics in the Market for Federal Funds
• Trading and Information Diffusion in Over-the-Counter Markets
• Filling in the blanks: network structure and interbank contagion

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