The Intraday Price of Money: Evidence from the e-MID Interbank Market


  • We are grateful to the editor D. Lucas and to two anonymous referees for very useful comments on a previous version of this paper. Many thanks to M. Ciampolini, L. Cupido, J. Davidson, and R. Hamaui for very helpful conversations on the topic of this research. The usual disclaimer applies.


We provide empirical evidence, based on tick-by-tick data for the e-MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid-1990s: we explain this evolution as an outcome of the recent trend toward real-time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit.