Inferring trading dynamics for an OTC market: the case of the euro area overnight money market
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DOI: 10.1080/14697680903515706
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- R. Beaupain & A. Durre, 2011. "Inferring trading dynamics for an OTC market: The case of the euro area overnight money market," Post-Print hal-00675976, HAL.
References listed on IDEAS
- R. Baupain & A. Durre, 2007.
"The interday and intraday patterns of the overnight market : evidence from an electronic platform,"
Post-Print
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- R. Beaupain & A. Durre, 2009. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print hal-00393027, HAL.
- R. Beaupain & A. Durre, 2008. "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print hal-00393019, HAL.
- Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
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Citations
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Cited by:
- Beaupain, Renaud & Durré, Alain, 2016.
"Excess liquidity and the money market in the euro area,"
Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
- Renaud Beaupain & Alain Durré, 2016. "Excess liquidity and the money market in the euro area," Post-Print hal-01562984, HAL.
- Saroyan, Susanna, 2024. "Counterparty choice, maturity shifts and market freezes: Lessons from the European interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
- Fariba Karimi & Matthias Raddant, 2016.
"Cascades in Real Interbank Markets,"
Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
- Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW Kiel).
- Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
- Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
- R. Baupain & A. Durre, 2007.
"The interday and intraday patterns of the overnight market : evidence from an electronic platform,"
Post-Print
hal-00300195, HAL.
- R. Beaupain & A. Durre, 2008. "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print hal-00393019, HAL.
- Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
- R. Beaupain & A. Durre, 2009. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print hal-00393027, HAL.
- Iori Giulia & Kapar Burcu & Olmo Jose, 2015. "Bank characteristics and the interbank money market: a distributional approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 249-283, June.
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- Durré, Alain & Beaupain, Renaud, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series 1500, European Central Bank.
- Finger, Karl & Lux, Thomas, 2014. "Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations," FinMaP-Working Papers 1, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Raddant, Matthias, 2014.
"Structure in the Italian overnight loan market,"
Journal of International Money and Finance, Elsevier, vol. 41(C), pages 197-213.
- Raddant, Matthias, 2012. "Structure in the Italian overnight loan market," Kiel Working Papers 1772, Kiel Institute for the World Economy (IfW Kiel).
- Finger, Karl & Lux, Thomas, 2014. "Friendship between banks: An application of an actor-oriented model of network formation on interbank credit relations," Kiel Working Papers 1916, Kiel Institute for the World Economy (IfW Kiel).
- Zappa, Paola & Vu, Duy Q., 2021. "Markets as networks evolving step by step: Relational Event Models for the interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Ricciardi, Gianmarco & Montagna, Guido & Caldarelli, Guido & Cimini, Giulio, 2023. "Dimensional reduction of solvency contagion dynamics on financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
- Federica Bianchi & Francesco Bartolucci & Stefano Peluso & Antonietta Mira, 2020. "Longitudinal networks of dyadic relationships using latent trajectories: evidence from the European interbank market," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(4), pages 711-739, August.
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- R. Beaupain & A. Durre, 2013. "Central bank reserves and interbank market liquidity in the euro area," Post-Print hal-00840147, HAL.
- Karl Finger & Thomas Lux, 2014. "Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations," Working Papers 01, Chair of Monetary Economics and International Finance, Department of Economics, Kiel University.
- Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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