Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114176
Authors: 
Abbassi, Puriya
Fecht, Falko
Tischer, Johannes
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 24/2015
Abstract: 
We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral constraints keeping banks from using the overdraft for arbitrage. Nevertheless, we find that in the crisis period a statistically and economically significant intraday spread (up to 60 basis points) prevailed that was only somewhat mitigated by the ECB's unconventional monetary policy measures. Our results show that this spread was mainly determined by the market liquidity of the repo market, suggesting that the intraday spread is largely a liquidity premium.
Subjects: 
intraday interest rate
central counterparty
overnight repos
central bank intervention
financial crisis
JEL: 
E43
E50
G01
G10
G21
ISBN: 
978-3-95729-174-5
Document Type: 
Working Paper

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