Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate...

This paper proposes rules for the control of interbank rate volatility under different interest corridor systems when volatility stems from interbank market frictions. Friction-induced volatility will occur if there is heterogeneity in two dimensions (across banks and time) with respect to the...