Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153421 
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper No. 987
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
In this paper the probability of informed trading (PIN) model developed by Easley and O’Hara (1992) is applied to analyze the role and impact of heterogeneities in euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN which measures the ability of traders to interpret signals on the expected evolution of the overnight rate. Results show that between 2000 and 2004 a heterogeneous learning process of market mechanisms within participants could be observed, whereas such asymmetries have been sharply decreasing since 2005. This is reviewed against some significant events that occurred in the euro money market, such as the reform of the Eurosystem’s operational framework in March 2004 and the recent financial market turmoil, which has represented a break in the steady decline of asymmetries as evidence suggest.
Subjects: 
Microstructure
money markets
PIN model
JEL: 
G14
E52
Document Type: 
Working Paper

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