We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money market rates. We report strong evidence of a long-term linear relation between trading imbalances and liquidity prices for Euro interbank deposits.

Trading directions and the pricing of Euro interbank deposits in the long run

MARZO, MASSIMILIANO;ZAGAGLIA, PAOLO
2012

Abstract

We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money market rates. We report strong evidence of a long-term linear relation between trading imbalances and liquidity prices for Euro interbank deposits.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/115810
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