میکروساختار بازار پول یورو

This paper provides an empirical examination of the microstructure of the euro money market, especially the overnight market, the interbank market for short-term funds in the transnational currency created in January 1999. The institutional framework shaping the microstructure of the money market can be delimited as the union of: (1) central banks' interest-setting bodies and their long-term policy strategy; (2) instruments for monetary policy operations and liquidity management; (3) the private market financial instruments and trading mechanisms for funds; and, (4) the payment and settlement infrastructure for the transfer of those funds. All four elements can significantly influence the intraday behaviour of money market rates. To study their effects on the euro money market, 5 months of intraday data for overnight deposits have been recorded from brokers in four euro area countries and the UK (posting their quotes on Reuters) and from the Italian electronic market MID. The results show “two-hump” shaped (or “u”-shaped) intraday patterns of quoting frequency and volatility, but flatter intraday patterns (sometimes weakly single “hump”-shaped) for bid-ask spreads. Even intraday overnight rate levels hardly differ across brokers located in different euro area countries, reflecting the high integration of this market already shortly after the introduction of the euro, despite some remaining heterogeneities in market structures and trading channels. Quoting activity, rate volatility and spreads increase on ECB Governing Council days

This paper presents the first broad empirical examination of the euro money market's microstructure. In contrast to other financial markets, such as bond, equity or foreign exchange markets, there is only a small amount of literature touching upon microstructure issues of the money market. In particular, papers addressing intraday features of this market are extremely rare. To our knowledge only Angelini (2000; for the Italian electronic deposit market before the introduction of the euro) and Furfine (1999; for the US fed funds market) have presented empirical papers on the intraday behaviour of money markets. Angelini focuses on the implications risk aversion has on Italian banks' intraday timing of overnight transactions when periods of uncertainty about liquidity needs are determined by institutional features of the payment system. Furfine describes the size, concentration and intraday timing of the fed funds market and analyses bank relationship patterns in it with special consideration of institutions' sizes.1

In this paper we started the empirical analysis of the euro money market's microstructure. This market is particularly interesting, since it is one of the largest money markets in the world and since in its entirety it only exists since the introduction of the new transnational currency in January 1999. The paper begins with a description of the institutional environment of the euro money market, encompassing the central bank's interest-rate setting bodies, the instruments for monetary policy operations, the private market financial instruments and trading mechanisms and the payment and settlement infrastructure for the transfer of funds. It then describes the data collected for this study, namely five months of intraday overnight rate quotes from 5 euro area and one UK broker as well as from the Italian electronic trading system MID.