Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank...

Considerable resources have been devoted to gathering data for the measurement of money market activity. However, little is known about the differences between available data and the structural effects of methodological choices. We use the novel dataset MMSR and compare it to data derived from a...

Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have redesigned the implementation of monetary policy to keep the deviations of the overnight rate from the key policy rate small and short-lived. This paper uses fractional...

The relation between the ECB's main refinancing (MRO) rates and the money market is key for the monetary transmission process in the euro area. This paper investigates how money market rates respond to the new information revealed by MRO auctions. Our results confirm a stabilizing level...

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral...