Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162646
Authors: 
Demertzidis, Anastasios
Jeleskovic, Vahidin
Year of Publication: 
2016
Series/Report no.: 
Joint Discussion Paper Series in Economics 49-2016
Abstract: 
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick by tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include events before, during, and after the recent financial crisis starting in 2007. Our first result is that, from a practical point of view, the intraday yield curve can be modeled by standard models for yield curves providing advantages for intraday trading on intraday interbank credit markets. Moreover, the estimates show that the systematic dynamics in the intraday yield curves during the turmoil were highly noticeable, resulting in a significantly better goodness-of-fit. Based on this fact, we infer that investors in the interbank credit market base their investment decisions on the effects of the intraday dynamics of intraday interest rates more intensively during a financial crisis. Therefore, the systematic impact on the e-MID appears to be stronger and econometric modeling of the intraday interest rate curve becomes even more attractive during a turmoil.
Subjects: 
interbank credit market
e-MID
Nelson-Siegel model
intraday yield curve estimation
financial crisis
JEL: 
C13
C58
E43
G01
Document Type: 
Working Paper

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