205
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Trading directions and the pricing of Euro interbank deposits in the long run

&
Pages 1827-1839 | Published online: 02 Apr 2012

References

  • Angelini , P. , Nobili , A. and Picillo , M. C. The Interbank Market after August 2007: what has changed and why? . Working Paper No. 731 . Italy : Bank of Italy .
  • Baglioni , A. and Monticini , A. 2008 . The intraday price of money: evidence from the e-MID market . Journal of Money, Credit and Banking , 40 : 1533 – 40 .
  • Beaupain , R. and Durré , A. The interday and intraday patterns of the overnight market: evidence from an electronic platform . Working Paper No. 988 . Germany : European Central Bank .
  • Bierens , H. J. 1982 . Consistent model specification tests . Journal of Econometrics , 20 : 105 – 34 .
  • Bierens , H. J. 1997 . Nonparametric cointegration analysis . Journal of Econometrics , 77 : 379 – 404 .
  • Bjonnes , G. H. and Rime , D. 2005 . Dealer behavior and trading systems in foreign exchange markets . Journal of Financial Economics , 75 : 571 – 605 .
  • Boyer , M. M. and Van Norden , S. 2006 . Exchange rates and order flow in the long run . Finance Research Letters , 3 : 235 – 43 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Durré , A. and Nardelli , S. 2008 . Volatility in the Euro Area money market: effects from the monetary policy operational framework . International Journal of Finance and Economics , 13 : 307 – 22 .
  • Durré , A. and Pilegaard , R. Estimating Riks Premia in money market rates . Working Paper No. 221 . Germany : European Central Bank .
  • Easley , D. , Hvidkjaer , S. and O'Hara , M. 2000 . “ Is information risk a determinant of asset returns? ” . In Unpublished Manuscript , Ithaca , NY : Cornell University .
  • Easley , D. , Kiefer , N. M. , O'Hara , M. and Paperman , J. B. 1996 . Liquidity, information, and infrequently traded stocks . Journal of Finance , 51 : 405 – 36 .
  • Easley , D. and O'Hara , M. 1987 . Price, trade size, and information in securities markets . Journal of Financial Economics , 19 : 69 – 90 .
  • Easley , D. and O'Hara , M. 1992 . Time and the process of security price adjustment . Journal of Finance , 47 : 576 – 605 .
  • European Central Bank . 2005 . The transmission of overnight interest rate volatility to longer-term interest rates in the Euro area money market . Monthly Bulletin , August 2005
  • Evans , M. D. and Lyons , R. K. 2001 . Why order flow explains exchange rates , Berkeley , CA : Unpublished Manuscript, UC Berkeley .
  • Heider , F. and Hoerova , M. 2009 . Interbank lending, credit risk premia and collateral . International Journal of Central Banking , 5 : 5 – 43 .
  • Heider , F. , Hoerova , M. and Holthausen , C. 2009 . “ Liquidity hoarding and interbank market spreads: the role of counterparty risk ” . In Working Paper No. 1126 , Germany : European Central Bank .
  • Idier , J. and Nardelli , S. Probability of informed trading on the Euro overnight market rate . Working Paper No. 987 . Germany : European Central Bank .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Lee , C. M. C. and Ready , M. J. 1991 . Inferring trade direction from intraday data . Journal of Finance , 46 : 733 – 46 .
  • Li , H. , Wang , J. , Wu , C. and He , Y. 2009 . Are liquidity and information risks priced in the treasury bond market? . Journal of Finance , 64 : 467 – 503 .
  • Westerhoff , F. H. 2003 . Market-maker, inventory control and foreign exchange dynamics . Quantitative Finance , 83 : 363 – 9 .
  • Zagaglia , P. 2010 . “ Informed trading in the Euro money market for term lending ” . In Unpublished Manuscript , Bologna : University of Bologna .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.