Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market

Citations

Cited by:

1. Martin, Antoine & McAndrews, James, 2010. "A study of competing designs for a liquidity-saving mechanism," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1818-1826, August.
   • Antoine Martin & James J. McAndrews, 2008. "A study of competing designs for a liquidity-saving mechanism," Staff Reports 336, Federal Reserve Bank of New York.
2. Beaupain, Renaud & Durré, Alain, 2016. "Excess liquidity and the money market in the euro area," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
   • Renaud Beaupain & Alain Durré, 2016. "Excess liquidity and the money market in the euro area," Post-Print hal-01562984, HAL.
3. Alain Durré & Stefano Nardelli, 2008. "Volatility in the Euro area money market: effects from the monetary policy operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 307-322.
   • A. Durre & S. Nardelli, 2006. "Volatility in the euro area money market: effects from the monetary policy operational framework," Post-Print hal-00271716, HAL.
   • A. Durre & Stefano Nardelliz, 2007. "Volatility in the euro area money market : effects from the monetary policy operational framework," Post-Print hal-00297423, HAL.
   • A. Durre & S. Nardelli, 2006. "Volatility in the euro area money market: effects from the monetary policy operational framework," Post-Print hal-00260875, HAL.
   • A. Durre & S. Nardelli, 2006. "Volatility in the euro area money market: effects from the monetary policy operational framework," Post-Print hal-00260865, HAL.
   • A. Durre & S. Nardelli, 2007. "Volatility in the euro area money market: effects from the monetary policy operational framework," Post-Print hal-00355025, HAL.
4. Marius Jurgilas & Antoine Martin, 2013. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Annals of Finance, Springer, vol. 9(1), pages 29-60, February.
   • Jurgilas, Marius & Martin, Antoine, 2010. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Bank of England working papers 389, Bank of England.
   • Marius Jurgilas & Antoine Martin, 2010. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Staff Reports 438, Federal Reserve Bank of New York.
5. Brousseau, Vincent & Manzanares, Andrés, 2005. "A look at intraday frictions in the euro area overnight deposit market," Working Paper Series 439, European Central Bank.
6. Angelo Baglioni & Andrea Monticini, 2008. "The Intraday Price of Money: Evidence from the e‐MID Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1533-1540, October.
   • Angelo Baglioni & Andrea Monticini, 2008. "The Intraday Price of Money: Evidence from the e-MID Interbank Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1533-1540, October.
7. Sébastien Kraenzlin & Thomas Nellen, 2010. "Daytime Is Money," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1689-1702, December.
   • S√Âbastien Kraenzlin & Thomas Nellen, 2010. "Daytime Is Money," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1689-1702, December.
   • Prof. Dr. Sébastien P. Kraenzlin & Dr. Thomas Nellen, 2010. "Daytime is money," Working Papers 2010-06, Swiss National Bank.
8. Anna Grodecka-Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics, Canadian Economics Association, vol. 52(4), pages 1600-1654, November.
   • Anna Grodecka‐Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1600-1654, November.
   • Grodecka, Anna, 2013. "Subprime borrowers, securitization and the transmission of business cycles," Bonn Econ Discussion Papers 07/2013, University of Bonn, Bonn Graduate School of Economics (BGSE).
   • Grodecka, Anna, 2014. "Subprime borrowers, securitization and the transmission of business cycles," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100456, Verein für Socialpolitik / German Economic Association.
   • Grodecka, Anna, 2016. "Subprime Borrowers, Securitization and the Transmission of Business Cycles," Working Paper Series 317, Sveriges Riksbank (Central Bank of Sweden).
9. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research and International Relations Area.
   • Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper 24, Tor Vergata University, CEIS.
10. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The microstructure of the euro money market," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
    • Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 80, European Central Bank.
    • Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
11. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
12. Baglioni, Angelo & Monticini, Andrea, 2010. "The intraday interest rate under a liquidity crisis: The case of August 2007," Economics Letters, Elsevier, vol. 107(2), pages 198-200, May.
    • Angelo Baglioni & Andrea Monticini, 2008. "The intraday interest rate under a liquidity crisis: the case of August 2007," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0083, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
13. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
14. ANTOINE MARTIN & JAMES McANDREWS, 2010. "Should There Be Intraday Money Markets?," Contemporary Economic Policy, Western Economic Association International, vol. 28(1), pages 110-122, January.
    • Antoine Martin & James J. McAndrews, 2008. "Should there be intraday money markets?," Staff Reports 337, Federal Reserve Bank of New York.
15. Martin, Antoine, 2004. "Optimal pricing of intraday liquidity," Journal of Monetary Economics, Elsevier, vol. 51(2), pages 401-424, March.
    • Antoine Martin, 2002. "Optimal pricing of intra-day liquidity," Research Working Paper RWP 02-02, Federal Reserve Bank of Kansas City.
16. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2015. "The role of bank relationships in the interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 118-141.
17. Enghin Atalay & Antoine Martin & James J. McAndrews, 2008. "The welfare effects of a liquidity-saving mechanism," Staff Reports 331, Federal Reserve Bank of New York.
18. R. Baupain & A. Durre, 2007. "The interday and intraday patterns of the overnight market : evidence from an electronic platform," Post-Print hal-00300195, HAL.
    • R. Beaupain & A. Durre, 2008. "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print hal-00393019, HAL.
    • Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
    • R. Beaupain & A. Durre, 2009. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print hal-00393027, HAL.
19. Angelo Baglioni & Andrea Monticini, 2013. "Why Does the Interest Rate Decline Over the Day? Evidence from the Liquidity Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(2), pages 175-186, October.
    • Angelo Baglioni & Andrea Monticini, 2010. "Why does the Interest Rate Decline Over the Day? Evidence from the Liquidity Crisis," DEP - series of economic working papers 4/2010, University of Genoa, Research Doctorate in Public Economics.
20. Ritz, Robert A. & Walther, Ansgar, 2015. "How do banks respond to increased funding uncertainty?," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 386-410.
    • Robert A. Ritz, 2010. "How do banks respond to increased funding uncertainty?," Economics Series Working Papers 481, University of Oxford, Department of Economics.
    • Robert A. Ritz & Ansgar Walther, 2014. "How do banks respond to increased funding uncertainty?," Cambridge Working Papers in Economics 1414, Faculty of Economics, University of Cambridge.
    • Ritz, R. A., 2012. "How do banks respond to increased funding uncertainty?," Cambridge Working Papers in Economics 1213, Faculty of Economics, University of Cambridge.
21. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    • R. Beaupain & A. Durre, 2013. "Central bank reserves and interbank market liquidity in the euro area," Post-Print hal-00840147, HAL.
22. Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019. "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
23. Palombini, Edgardo, 2003. "Volatility and liquidity in the Italian money market," MPRA Paper 42699, University Library of Munich, Germany.
24. Martin, Antoine & McAndrews, James, 2008. "Liquidity-saving mechanisms," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 554-567, April.
    • Antoine Martin & James J. McAndrews, 2007. "Liquidity-saving mechanisms," Staff Reports 282, Federal Reserve Bank of New York.
    • Jamie McAndrews & Antoine Martin, 2007. "Liquidity saving mechanisms," 2007 Meeting Papers 165, Society for Economic Dynamics.
25. Arco van Oord & Howie Lin, 2005. "Molling Inter- and Intraday Payment Flows," DNB Working Papers 074, Netherlands Central Bank, Research Department.
26. Duran, Miguel A., 2022. "The risk–return relation in the corporate loan market," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    • Miguel A. Duran, 2024. "The Risk-Return Relation in the Corporate Loan Market," Papers 2401.12315, arXiv.org.
27. Yasuo Nishiyama, 2007. "Are Banks Risk-Averse?," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 471-490, Fall.
28. repec:ctc:serie1:def10 is not listed on IDEAS
29. Iori Giulia & Kapar Burcu & Olmo Jose, 2015. "Bank characteristics and the interbank money market: a distributional approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 249-283, June.
30. Christian Pfister, 2018. "(Real-)Time Is Money," Working papers 675, Banque de France.
31. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    • Durré, Alain & Beaupain, Renaud, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series 1500, European Central Bank.
32. Olivier Armantier & Jeffrey Arnold & James J. McAndrews, 2008. "Changes in the timing distribution of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 83-112.
33. Lundtofte, Frederik, 2015. "Banks’ pooling of corporate debt: An application of the restated diversification theorem," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 249-263.
34. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
    • Temizsoy, A. & Iori, G. & Montes-Rojas, G., 2016. "Network Centrality and Funding Rates in the e-MID Interbank Market," Working Papers 16/08, Department of Economics, City University London.
35. Bech, Morten L. & Garratt, Rod, 2003. "The intraday liquidity management game," Journal of Economic Theory, Elsevier, vol. 109(2), pages 198-219, April.
    • Bech, Morten L. & Garratt, Rod, 2001. "The Intraday Liquidity Management Game," University of California at Santa Barbara, Economics Working Paper Series qt0m6035wg, Department of Economics, UC Santa Barbara.
36. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
37. Monticini, Andrea & Ravazzolo, Francesco, 2014. "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 304-315.
    • Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
    • Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
38. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 181-205, September.
39. De Caux, Robert & Brede, Markus & McGroarty, Frank, 2016. "Payment prioritisation and liquidity risk in collateralised interbank payment systems," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 139-150.
40. Paolo Angelini, 2008. "Liquidity And Announcement Effects In The Euro Area," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 1-20, March.
    • Paolo Angelini, 2002. "Liquidity and Announcement Effects in the Euro Area," Temi di discussione (Economic working papers) 451, Bank of Italy, Economic Research and International Relations Area.
41. Antoine Martin & James J. McAndrews, 2008. "An economic analysis of liquidity-saving mechanisms," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 25-39.
42. Kahn, Charles M. & Roberds, William, 2009. "Why pay? An introduction to payments economics," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 1-23, January.
43. Jurgilas, Marius & Zikes, Filip, 2012. "Implicit intraday interest rate in the UK unsecured overnight money market," Bank of England working papers 447, Bank of England.
    • Marius Jurgilas & Filip Zikes, 2013. "Implicit intraday interest rate in the UK unsecured overnight money market," Working Paper 2013/09, Norges Bank.
44. Tharwah Shaalan, 2018. "Classification of Lending Risks and Interpretation of Operational Efficiency in Islamic Banks Registered on the Bahrain Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 151-156.
45. Nishiyama, Yasuo, 2011. "The term structure of CD rates and monetary policy transmission," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 82-94, January.
46. Puriya Abbassi & Falko Fecht & Johannes Tischer, 2017. "Variations in Market Liquidity and the Intraday Interest Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 733-765, June.
47. Jurgilas, Marius & Žikeš, Filip, 2014. "Implicit intraday interest rate in the UK unsecured overnight money market," Journal of Financial Intermediation, Elsevier, vol. 23(2), pages 232-254.
48. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
49. Maddaloni, Giuseppe, 2015. "Liquidity risk and policy options," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 514-527.
50. Abbassi, Puriya & Fecht, Falko & Tischer, Johannes, 2015. "The intraday interest rate: What's that?," Discussion Papers 24/2015, Deutsche Bundesbank.
51. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI).