A model of the Eurosystem's operational framework and the euro overnight interbank market
โ Scribed by Hauck, Achim; Neyer, Ulrike
- Book ID
- 123005431
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 1004 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0176-2680
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This paper deals with the evolution of the realized volatility of the overnight interest rates in the Euro area money market using intraday data. It analyses in particular the pattern of the volatility of the overnight interest rate before and after the introduction of the structural ch
In this paper the probability of informed trading (PIN) model developed by Easley and O'Hara is applied to analyse the role and impact of heterogeneities in the euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN that measures the ability o