文档介绍：Journal of International Money and Finance
20 (2001) 895–948
ate/econbase
The microstructure of the euro money market
Philipp Hartmann*, Michele Manna, Andre´s Manzanares
ECB, DG Research, Kaiserstrabsse 29, 60311 Frankfurt, Germany
Abstract
This paper provides an empirical examination of the microstructure of the euro money
market, especially the overnight market, the interbank market for short-term funds in the trans-
national currency created in January 1999. The institutional framework shaping the microstruc-
ture of the money market can be delimited as the union of: (1) central banks’ interest-setting
bodies and their long-term policy strategy; (2) instruments for ary policy operations and
liquidity management; (3) the private market financial instruments and trading mechanisms
for funds; and, (4) the payment and settlement infrastructure for the transfer of those funds.
All four elements can significantly influence the intraday behaviour of money market rates.
To study their effects on the euro money market, 5 months of intraday data for overnight
deposits have been recorded from brokers in four euro area countries and the UK (posting
their quotes on Reuters) and from the Italian electronic market MID. The results show “two-
hump” shaped (or “u”-shaped) intraday patterns of quoting frequency and volatility, but flatter
intraday patterns (sometimes weakly single “hump”-shaped) for bid-ask spreads. Even intraday
overnight rate levels hardly differ across brokers located in different euro area countries,
reflecting the high integration of this market already shortly after the introduction of the euro,
despite some remaining heterogeneities in market structures and trading channels. Quoting
activity, rate volatility and spreads increase on ECB Governing Council days, particularly after
the pm release time of interest rate decisions. However, since the amplitude of this vola-
tility is economically small and since turnovers are not in