| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4583 |
| DP4583 Exchange Rates and Inflation Under EMU: An Update | |
| Patrick Honohan; Philip Lane | |
| 发表日期 | 2004-08-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | The purpose of this Paper is to study the determinants of equilibrium in the market for daily funds. We use the EONIA panel database which includes daily information on the lending rates applied by contributing commercial banks. The data clearly shows an increase in both the time series volatility and the cross-section dispersion of rates towards the end of the reserve maintenance period. These increases are highly correlated. With respect to quantities, we find that the volume of trade as well as the use of the standing facilities is also larger at the end of the maintenance period. Our theoretical model shows how the operational framework of monetary policy causes a reduction in the elasticity of the supply of funds by banks throughout the reserve maintenance period. This reduction in the elasticity together with market segmentation and heterogeneity are able to generate distributions for the interest rates and quantities traded with the same properties as in the data. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Overnight interest rate Monetary policy instruments Eonia panel |
| URL | https://cepr.org/publications/dp4583 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533500 |
| 推荐引用方式 GB/T 7714 | Patrick Honohan,Philip Lane. DP4583 Exchange Rates and Inflation Under EMU: An Update. 2004. |
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