The authors are indebted to H. Baumer, P. Haene, K. Hug, M. Schlegel, and A. Sturm for valuable discussions. The authors also thank two anonymous referees for valuable comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily represent those of the Swiss National Bank.
Daytime Is Money
Article first published online: 25 NOV 2010
© 2010 The Ohio State University
Journal of Money, Credit and Banking
Volume 42, Issue 8, pages 1689–1702, December 2010
How to Cite
KRAENZLIN, S. and NELLEN, T. (2010), Daytime Is Money. Journal of Money, Credit and Banking, 42: 1689–1702. doi: 10.1111/j.1538-4616.2010.00360.x
- Issue published online: 25 NOV 2010
- Article first published online: 25 NOV 2010
- Received January 25, 2010; and accepted in revised form June 25, 2010.
- interbank money market;
- intraday credit;
- term structure;
- liquidity crisis
Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable insights into the daytime value of money. In analogy to Baglioni and Monticini (2008), we provide evidence that an implicit intraday money market exists. We further show that the introduction of foreign exchange settlement system, Continuous Linked Settlement, increased the implicit value of intraday liquidity during settlement cycle hours, thus providing further evidence of the cost of immediacy. Finally, we provide evidence that during the financial market turmoil the implicit intraday interest in a secured money market was less affected than that in an unsecured money market.