G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4583
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
URLhttps://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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