Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210049
Authors: 
Akram, Q. Farooq
Christophersen, Casper
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013/26
Abstract: 
We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual overnight loans and interest rates reported daily by these banks to the Norwegian central bank since October 2011. We find that interbank payments can provide reliable information about overnight lending and overnight interest rates at the market level, and even at the bank level, for relatively small overnight lenders and large overnight lenders that mostly lend on their own behalf.
Subjects: 
furfine
overnight interbank rates
interbank payments
JEL: 
G21
E42
E43
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-783-4
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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