The paper analyzes the euro-area interbank market. The martingale hypothesis for the Eonia, the reference overnight interest rate, is tested and rejected. Such rejection is a sufficient condition for a liquidity effect, which is then estimated. The magnitude of the effect is found to depend on...

The outbreak of the financial crisis coincided with a sharp increase of worldwide interbank interest rates. We analyze the micro and macroeconomic determinants of this phenomenon, finding that before August 2007 interbank rates were insensitive to borrower characteristics, whereas afterwards...

Using a simple multi-country econometric model covering the three main countries of the euro area, the paper focuses on the role that can be played by information at the national level in defining the monetary policy of the Union. We find that the performance of a central bank that chooses the...

We use a dynamic general equilibrium model featuring a banking sector to assess the interaction between macroprudential policy and monetary policy. We find that in "normal" times (when the economic cycle is driven by supply shocks) macroprudential policy generates only modest benefits for...