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The daily market for funds in Europe: Has something changed with the EMU?
Pérez Quirós, Gabriel; Rodríguez, Hugo
Universitat Pompeu Fabra. Departament d'Economia i Empresa
This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after thestart of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which isable to reproduce our empirical findings.
Macroeconomics and International Economics
overnight rates
reserve demand
martingale hypothesis
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