This paper contributes to the ongoing debate about the changing dynamics in the money market rates after 2007. It aims to analyse the interest rate channel of monetary policy transmission until the federal funds target rate reached the zero lower bound. A set of different model explains both...

As uncertainty always exists, money hoarding that negatively affects economic activity cannot be completely eliminated, it can only be diminished. The paper argues that the scale of money hoarding varies depending on the type of the financial system, and it is asserted that 1) in the debt-based...

Interest rate spreads are widely-used indicators of funding pressures and market functioning in money markets. Using weekly data from 2002 to 2015, we analyze money market dynamics in a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms. We find...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

We analyze the trading book of a key market maker in the European unsecured money market and study the extent to which liquidity risks accumulated by this market maker affect his pricing of liquidity and the bid/ask spread he quotes on unsecured borrowing and lending. We find that the larger the...

Using a range of stochastic volatility models well-known in the nance literature, we study the existence of money market bubbles in the US economy. Money market bubbles preclude the existence of a risk-neutral pricing measure. Understanding whether markets exhibit money market bubbles is crucial...

As a result of the global financial crisis countercyclical capital requirements have been discussed to prevent fi nancial bubbles generated in the banking sector and to mitigate the adverse effects of fi nancial repression after a bubble burst. This paper analyses the effects of an endogenous...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...