(Translated by https://www.hiragana.jp/)
Citation data for document RePEc:cty:dpaper:12/06
create a website

Market microstructure, banks behaviour and interbank spreads. (2012). Iori, Giulia ; Germano, Guido ; Gabbi, Giampaolo ; Hatzopoulos, V. ; Politi, M..
In: Working Papers.
RePEc:cty:dpaper:12/06.

Full description at Econpapers || Download paper

Cited: 11

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Jeleskovic, Vahidin ; Demertzidis, Anastasios.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:212-:d:550636.

    Full description at Econpapers || Download paper

  2. How are network centrality metrics related to interest rates in the Mexican secured and unsecured interbank markets?. (2021). Hochreiter, Ronald ; Luis , ; Martinez-Jaramillo, Serafin ; Tellez-Leon, Isela-Elizabeth.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100053x.

    Full description at Econpapers || Download paper

  3. Taming financial systemic risk: models, instruments and early warning indicators. (2020). Tedeschi, Gabriele ; Recchioni, Maria Cristina ; Caccioli, Fabio.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00278-x.

    Full description at Econpapers || Download paper

  4. Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-. (2019). Demertzidis, Anastasios.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201932.

    Full description at Econpapers || Download paper

  5. Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201839.

    Full description at Econpapers || Download paper

  6. Network centrality and funding rates in the e-MID interbank market. (2017). Montes-Rojas, Gabriel ; Iori, Giulia ; Temizsoy, Asena .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:346-365.

    Full description at Econpapers || Download paper

  7. Complex Networks in Finance. (2016). Rotundo, Giulia ; Darcangelis, Anna Maria.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnechp:978-3-319-40803-3_9.

    Full description at Econpapers || Download paper

  8. Intraday volatility, trading volume and trading intensity in the interbank market e-MID. (2016). Jeleskovic, Vahidin ; Engler, Markus .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201648.

    Full description at Econpapers || Download paper

  9. Network Centrality and Funding Rates in the e-MID Interbank Market. (2016). Montes-Rojas, Gabriel ; Iori, G ; Temizsoy, A.
    In: Working Papers.
    RePEc:cty:dpaper:16/08.

    Full description at Econpapers || Download paper

  10. The role of bank relationships in the interbank market. (2015). Montes-Rojas, Gabriel ; Iori, Giulia ; Temizsoy, Asena .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141.

    Full description at Econpapers || Download paper

  11. Implications of financialisation for sustainability. (2014). Ticci, Elisa ; Gabbi, Giampaolo.
    In: Working papers.
    RePEc:fes:wpaper:wpaper47.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acharya, V.V., Merrouche, O., 2010. Precautionary hoarding of liquidity and inter-bank markets: evidence from the sub-prime crisis. NYU Working Paper FIN-09-018.

  2. Angelini, P., Nobili, A., Picillo, C., 2009. The interbank market after August 2007: What has changed, and why? Bank of Italy, Temi di Discussione (Working Papers), Nr. 731.

  3. Baglioni, A., Monticini, A., 2008a. The intraday interest rate under a liquidity crisis: the case of august 2007. Quaderni dellâIstituto di Economia e Finanza IEF0083, Dipartimenti e Istituti di Scienze Economiche (DISCE), Universit`a Cattolica del Sacro Cuore, Milano.

  4. Baglioni, A., Monticini, A., 2008b. The intraday price of money: evidence from the e-MID interbank market. Journal of Money, Credit and Banking 40, 1533â1540.

  5. Beaupain, R., Durre, A., 2008. The interday and intraday patterns of the overnight market. evidence from an electronic platform. European Central Bank Working Paper Series, Nr. 988.

  6. Brousseau, V., Manzanares, A., 2005. A look at intraday frictions in the Euro area overnight deposit market. European Central Bank Working Paper Series, Nr. 439.

  7. Cassola, N., Holthausen, C., Duca, M.L., 2010. The 2007/2009 turmoil: a challenge for the integration of the euro area money market? European Central Bank Working Paper.
    Paper not yet in RePEc: Add citation now
  8. Eisenschmidt, J., Tapking, J., 2009. Liquidity risk premia in unsecured interbank money markets. European Central Bank Working Paper Series, Nr. 1025.

  9. European Central Bank, 2011b. The implementation of monetary policy in the Euro Area.
    Paper not yet in RePEc: Add citation now
  10. Furïne, C., 2000. Interbank payment and the daily federal funds rate. Journal of Monetary Economics 46, 535â553.
    Paper not yet in RePEc: Add citation now
  11. Furïne, C., 2001. Banks monitoring banks: evidence from the overnight federal funds market. Journal of Business 74, 33â58.
    Paper not yet in RePEc: Add citation now
  12. Furïne, C., 2002. The interbank market during a crisis. European Economic Review 46, 809â820.
    Paper not yet in RePEc: Add citation now
  13. Gabrieli, S., 2011. The functioning of the European interbank market during the 2007â08 ïnancial crisis. CEIS Tor Vergata Working Paper Series, Nr. 158.

  14. Gale, D., Yorulmazer, T., 2011. Liquidity hoarding. Federal Reserve Bank of New York Staâ Reports, Nr. 488.
    Paper not yet in RePEc: Add citation now
  15. Gaspar, V., Perez-Quiros, G., Mendizabal, H.R., 2007. Interest rate determination in the interbank market. European Economic Review 52, 413â440.

  16. Hamilton, J.D., 1996. The daily market for federal funds. Journal of Political Economy 104, 26â56.

  17. Heider, F., Hoerova, M., Holthausen, C., 2009. Liquidity hoarding and interbank market spreads: the role of counterparty risk. European Central Bank Working Paper Series, Nr. 1126.

  18. Iazzetta, C., Manna, M., 2009. The topology of the interbank market: developments in Italy since 1990. Bank of Italy, Temi di Discussione (Working Papers), Nr. 711.

  19. Iori, G., Masi, G.D., Precup, O.V., Gabbi, G., Caldarelli, G., 2008. A network analysis of the Italian overnight money market. Journal of Economic Dynamics & Control 32, 259â278.

  20. Iori, G., Precup, O.V., 2007. Weighted network analysis of high-frequency cross-correlation measures. Physical Review E 75, 036110.
    Paper not yet in RePEc: Add citation now
  21. Iori, G., Ren`o, R., Masi, G.D., Caldarelli, G., 2007. Trading strategies in the Italian interbank market. Physica A 376, 467â479.

  22. Masi, G.D., Iori, G., Caldarelli, G., 2006. A ïtness model for the Italian interbank money market. Physical Review E 74, 066112.
    Paper not yet in RePEc: Add citation now
  23. Michaud, F.L., Upper, C., 2008. What drives interbank rates? evidence from the libor panel. BIS Quarterly Review.

Cocites

Documents in RePEc which have cited the same bibliography

  1. International financial integration, crises and monetary policy: evidence from the Euro area interbank crises. (2018). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1566.

    Full description at Econpapers || Download paper

  2. International financial integration, crises and monetary policy: evidence from the Euro area interbank crises. (2017). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Working Papers.
    RePEc:bge:wpaper:965.

    Full description at Econpapers || Download paper

  3. Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market. (2016). Brossard, Olivier ; Saroyan, Susanna .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:40:y:2016:i:c:p:163-185.

    Full description at Econpapers || Download paper

  4. A tale of fire-sales and liquidity hoarding. (2015). Müller, Benjamin ; Berentsen, Aleksander ; Muller, Benjamin.
    In: ECON - Working Papers.
    RePEc:zur:econwp:139.

    Full description at Econpapers || Download paper

  5. Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB. (2015). Koetter, Michael ; Cycon, Lisa .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:112831.

    Full description at Econpapers || Download paper

  6. On the role of market makers for money market liquidity and tensions. (2015). Reitz, Stefan ; Fecht, Falko ; Weber, Patrick .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:2013.

    Full description at Econpapers || Download paper

  7. Euro money market trading during times of crisis. (2015). Reitz, Stefan ; Fecht, Falko.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:2012.

    Full description at Econpapers || Download paper

  8. To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries. (2015). Klepková Vodová, Pavla.
    In: Prague Economic Papers.
    RePEc:prg:jnlpep:v:2015:y:2015:i:6:id:529:p:662-677.

    Full description at Econpapers || Download paper

  9. Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run. (2015). Klepková Vodová, Pavla ; Stavarek, Daniel ; Vodova, Pavla Klepkova .
    In: Working Papers.
    RePEc:opa:wpaper:0020.

    Full description at Econpapers || Download paper

  10. Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register. (2015). Meisenzahl, Ralf R. ; Irani, Rustom M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-01.

    Full description at Econpapers || Download paper

  11. Change point detection for subprime crisis in American banking: From the perspective of risk dependence. (2015). Zhu, Xiaoqian ; Wu, Dengsheng ; Li, Jianping ; Xie, Yongjia.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:38:y:2015:i:c:p:18-28.

    Full description at Econpapers || Download paper

  12. Liquidity hoarding and interbank market rates: The role of counterparty risk. (2015). Hoerova, Marie ; Heider, Florian ; Holthausen, Cornelia.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:336-354.

    Full description at Econpapers || Download paper

  13. Does the bank risk concentration freeze the interbank system?. (2015). Lucchetta, Marcella.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:33:y:2015:i:c:p:149-166.

    Full description at Econpapers || Download paper

  14. Trust, family businesses and financial intermediation. (2015). Stacchini, Massimiliano ; Degasperi, Petra .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:33:y:2015:i:c:p:293-316.

    Full description at Econpapers || Download paper

  15. A dynamic network model of the unsecured interbank lending market. (2015). Lelyveld, Iman ; Bräuning, Falk ; Blasques, Francisco ; van Lelyveld, Iman.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:460.

    Full description at Econpapers || Download paper

  16. Global liquidity regulation - Why did it take so long?. (2015). Bonner, Clemens ; Hilbers, Paul .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:455.

    Full description at Econpapers || Download paper

  17. Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area. (2015). Manganelli, Simone ; Hoerova, Marie ; Heider, Florian ; Garcia de Andoain Hidalgo, Carlos ; Garcia-de-Andoain, Carlos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10901.

    Full description at Econpapers || Download paper

  18. Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis. (2015). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10479.

    Full description at Econpapers || Download paper

  19. A dynamic network model of the unsecured interbank lending market. (2015). Lelyveld, Iman ; Bräuning, Falk ; Blasques, Francisco ; Brauning, Falk ; van Lelyveld, Iman.
    In: BIS Working Papers.
    RePEc:bis:biswps:491.

    Full description at Econpapers || Download paper

  20. Cross-border liquidity, relationships and monetary policy: Evidence from the Euro area interbank crisis. (2014). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Discussion Papers.
    RePEc:zbw:bubdps:452014.

    Full description at Econpapers || Download paper

  21. A network view on interbank market freezes. (2014). Georg, Co-Pierre ; Gabrieli, Silvia.
    In: Discussion Papers.
    RePEc:zbw:bubdps:442014.

    Full description at Econpapers || Download paper

  22. Contagious herding and endogenous network formation in financial networks. (2014). Georg, Co-Pierre.
    In: Discussion Papers.
    RePEc:zbw:bubdps:232014.

    Full description at Econpapers || Download paper

  23. A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis. (2014). Chang, Yang.
    In: PhD Thesis.
    RePEc:uts:finphd:18.

    Full description at Econpapers || Download paper

  24. Literature review on the stability of funding models. (2014). Yorulmazer, Tanju.
    In: Economic Policy Review.
    RePEc:fip:fednep:00005.

    Full description at Econpapers || Download paper

  25. Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register. (2014). Meisenzahl, Ralf R. ; Irani, Rustom M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-115.

    Full description at Econpapers || Download paper

  26. Contagious herding and endogenous network formation in financial networks. (2014). Georg, Co-Pierre.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141700.

    Full description at Econpapers || Download paper

  27. Dynamic visualization of large transaction networks: the daily Dutch overnight money market. (2014). Lelyveld, Iman ; Heuver, Richard ; Heijmans, Ronald ; Levallois, Clement ; van Lelyveld, Iman.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:418.

    Full description at Econpapers || Download paper

  28. The Impact of Liquidity Regulation on Banks. (2014). Banerjee, Ryan ; Mio, Hitoshi .
    In: BIS Working Papers.
    RePEc:bis:biswps:470.

    Full description at Econpapers || Download paper

  29. Networked relationships in the e-MID Interbank market: A trading model with memory. (2014). Mantegna, Rosario ; Iori, Giulia ; Micciche, Salvatore ; Tumminello, Michele ; Marotta, Luca ; Porter, James .
    In: Papers.
    RePEc:arx:papers:1403.3638.

    Full description at Econpapers || Download paper

  30. Liquidity hoarding. (2013). Yorulmazer, Tanju ; Gale, Douglas.
    In: Theoretical Economics.
    RePEc:the:publsh:1064.

    Full description at Econpapers || Download paper

  31. Credit Contagion in Financial Markets: A Network-Based Approach. (2013). Steinbacher, Mitja.
    In: MPRA Paper.
    RePEc:pra:mprapa:49616.

    Full description at Econpapers || Download paper

  32. Evaluating the quality of fed funds lending estimates produced from Fedwire payments data. (2013). Skeie, David ; Kovner, Anna.
    In: Staff Reports.
    RePEc:fip:fednsr:629.

    Full description at Econpapers || Download paper

  33. The Basel III Net Stable Funding Ratio and bank net interest margins. (2013). King, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4144-4156.

    Full description at Econpapers || Download paper

  34. Credit risk connectivity in the financial industry and stabilization effects of government bailouts. (2012). Wedow, Michael ; Koetter, Michael ; Bosma, Jakob .
    In: Discussion Papers.
    RePEc:zbw:bubdps:162012.

    Full description at Econpapers || Download paper

  35. Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis. (2012). Mora, Nada ; Acharya, Viral.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17838.

    Full description at Econpapers || Download paper

  36. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks. (2012). Sterne, Gabriel ; Kapadia, Sujit ; Drehmann, Matthias ; Elliott, John.
    In: NBER Chapters.
    RePEc:nbr:nberch:12049.

    Full description at Econpapers || Download paper

  37. Market microstructure, banks behaviour and interbank spreads. (2012). Iori, Giulia ; Germano, Guido ; Gabbi, Giampaolo ; Hatzopoulos, V. ; Politi, M..
    In: Working Papers.
    RePEc:cty:dpaper:12/06.

    Full description at Econpapers || Download paper

  38. Liquidity risk, cash-flow constraints and systemic feedbacks. (2012). Kapadia, Sujit ; Drehmann, Mathias ; Sterne, Gabriel ; Elliott, John.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0456.

    Full description at Econpapers || Download paper

  39. Implicit intraday interest rate in the UK unsecured overnight money market. (2012). Jurgilas, Marius ; Zikes, Filip.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0447.

    Full description at Econpapers || Download paper

  40. Liquidity Hoarding. (2011). Yorulmazer, Tanju ; Gale, Douglas.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp682.

    Full description at Econpapers || Download paper

  41. A model of liquidity hoarding and term premia in inter-bank markets. (2011). Skeie, David ; Acharya, Viral.
    In: Staff Reports.
    RePEc:fip:fednsr:498.

    Full description at Econpapers || Download paper

  42. Liquidity hoarding. (2011). Yorulmazer, Tanju ; Gale, Douglas.
    In: Staff Reports.
    RePEc:fip:fednsr:488.

    Full description at Econpapers || Download paper

  43. Are banks passive liquidity backstops? deposit rates and flows during the 2007-2009 crisis. (2011). Mora, Nada ; Acharya, Viral.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp11-06.

    Full description at Econpapers || Download paper

  44. The price of liquidity: the effects of market conditions and bank characteristics. (2011). Nyborg, Kjell ; Fecht, Falko ; Rocholl, Jorg.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111376.

    Full description at Econpapers || Download paper

  45. Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis. (2011). Mora, Nada ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8706.

    Full description at Econpapers || Download paper

  46. A Pigovian Approach to Liquidity Regulation. (2011). Suarez, Javier ; Perotti, Enrico.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8271.

    Full description at Econpapers || Download paper

  47. Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada. (2011). Kastl, Jakub ; Allen, Jason ; Hortasu, Ali.
    In: Staff Working Papers.
    RePEc:bca:bocawp:11-17.

    Full description at Econpapers || Download paper

  48. Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk. (2010). Holthausen, Cornelia ; Hoerova, Marie ; Heider, Florian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7762.

    Full description at Econpapers || Download paper

  49. Contingent liquidity. (2010). Salleo, Carmelo ; Nicoletti-Altimari, Sergio .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_70_10.

    Full description at Econpapers || Download paper

  50. To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries. (). .
    In: Prague Economic Papers.
    RePEc:prg:jnlpep:v:preprint:id:529.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-08-26 14:47:45 || Create a citation alert || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.