The overnight interbank market in the United States and in the Euro area.

摘要

The institutional framework within which banks operate plays a major role in how the interbank overnight market functions in a country. In the first chapter of this dissertation we compare the monetary policy instruments used by the Federal Reserve and the European Central Bank.; Given the institutional structure of the overnight interbank market, one can obtain a more realistic and detailed description of the dynamics of bid-ask spreads, market frictions, and the flow of information. In chapter II we build a theoretical model for the Federal funds market to analyze how heterogeneous depository institutions set prices and quantities in presence of liquidity shocks. We show that not only the aggregate level of reserves but also the allocation of liquidity among banks and the dispersion of liquidity shocks affect the determination of the equilibrium interest rate. The higher the probability that a bank will have to borrow at the discount window, the higher the equilibrium rates. This effect is bigger when the market maker is the one that needs funds the most. The greater the volatility of the shocks, the higher the level of the interest rate as well as the bid-ask spread. This is also what we observe in the data when we empirically test for the impact of the volatility of Treasury balances on the conditional mean of the Federal funds rate.; In chapter III we take in account the specific features of the Eurosystem's monetary policy operating procedures and we measure the effect of changes in the supply of central bank money on the euro-area overnight transaction rates, quoted bid-ask spreads and transaction volumes. We use an unexploited set of high-quality daily data, which includes a measure of unexpected exogenous liquidity shocks. An unexpected increase in the supply of central bank money of 1 billion euro is found to reduce the overnight rate by 18 basis points; an expected one by 2 basis points. An expected liquidity increase reduces the quoted bid-ask spread; an unexpected change (of any sign) raises it. Liquidity changes have minor impact on the volume of market transactions.