Quantitative analysis of the Interbank credit market e-MID in the high frequency domain
| dc.contributor.corporatename | Kassel, Universität Kassel, Fachbereich Wirtschaftswissenschaften | |
| dc.contributor.referee | Klein, Christian (Prof. Dr.) | |
| dc.contributor.referee | Jeleskovic, Vahidin (Dr.) | |
| dc.date.accessioned | 2020-05-19T16:08:43Z | |
| dc.date.available | 2020-05-19T16:08:43Z | |
| dc.date.issued | 2020 | |
| dc.identifier | doi:10.17170/kobra-202005191271 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/11562 | |
| dc.language.iso | eng | eng |
| dc.rights | Namensnennung-Nicht-kommerziell 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | * |
| dc.subject | Interbank market | eng |
| dc.subject | e-MID | eng |
| dc.subject | intraday analysis | eng |
| dc.subject | intraday yield curves | eng |
| dc.subject | financial crisis | eng |
| dc.subject.ddc | 330 | |
| dc.subject.swd | Interbankgeschäft | ger |
| dc.subject.swd | Geldhandel | ger |
| dc.subject.swd | Finanzkrise | ger |
| dc.title | Quantitative analysis of the Interbank credit market e-MID in the high frequency domain | eng |
| dc.type | Dissertation | |
| dc.type.version | publishedVersion | |
| dcterms.abstract | Interbankenkreditmärkte, und vor allem das ungesicherte übernacht-Segment, gelten aus verschiedenen Blickwinkeln als wichtig für das gesamte Finanzsystem. So können Banken an diesen Märkten effizient Liquidität handeln oder dadurch Verpflichtungen in Zahlungs- und Abrechnungssystemen einhalten. Distorsionen in der Liquiditätsbeschaffung haben dabei negative Auswirkungen auch auf der mikroökonomischen Ebene, da diese die Kreditkonditi-onen von Haushalten und Firmen beeinflussen. Da Interbankenkreditmärkte als der erste Transmissionskanal der Wirtschaftspolitik gelten, spielen diese Märkte auch aus makroökono-mischer Sicht eine wichtige Rolle. Dabei war das Interesse an diesen Märkten, aus praktischer und wissenschaftlicher Sicht, bis zum Ausbruch der Finanzkrise im Jahr 2007 eher limitiert. Die wesentlichsten Gründe waren dabei die gute Funktionsweise der Märkte und die geringe Fristigkeit der Kredite. Dies änderte sich mit dem Ausbruch der Finanzkrise im August 2007. Ein wesentliches Problem der Analyse der Interbankenkreditmärkte ist dabei die Datenver-fügbarkeit. Im Rahmen der vorliegenden Dissertation wird ein Datensatz des einzigen organisierten Interbankkreditmarktes in der Eurozone und den USA, dem e-MID Markt, als Datengrundlage verwendet. Der Fokus liegt hier auf den Übernachtkrediten da diese den Großteil der Transaktionen widerspiegeln. Ein weiterer Fokus wird auf die verschiedenen Marktzustände vor, während und nach der Finanzkrise von 2007 ff. gelegt. Die ersten beiden Kapitel der Dissertation widmen sich den Intratageszinskurven und somit der Frage wie sich Interbankenzinsen im Tagesablauf verändern. Im ersten Kapitel wird dabei zum ersten Mal gezeigt, dass die Zinsen mit Hilfe des nichtlinearen Nelson Siegel Models empirisch modelliert werden können. Die Ergebnisse suggerieren, dass die Zinsen nicht nur lineare und vor allem fallende Verläufe haben, wie es bisher angenommen wurde, sondern auch nicht-Linearitäten eine tragende Rolle spielen können. Weiterhin wird eine hohe Anpassungsgüte erreicht, welche insbesondere in Zeiten der Krise signifikant hoch ist. Im Rahmen des zweiten Kapitels werden erstmalig drei Modelle zur Schätzung dieser Intratageszinskurven mit einander verglichen. Die empirischen Ergebnisse zeigen, dass alle drei Modelle für die Schätzung der Intratageszinskurven geeignet sind und, dass dabei das Svensson Modell gegenüber den anderen beiden Modellen bevorzugt werden sollte. Das dritte Kapitel umfasst die Analyse der Transaktionen und Volumina im Tagesablauf. Hier werden erstmalig die Transaktionen unterteilt in Kaufs- und Verkaufstransaktionen, und deren Verläufe unter Einbezug verschiedener Marktzustände miteinander verglichen. Die empiri-schen Ergebnisse suggerieren, dass diese Verläufe sowohl aus ökonomischer als auch ökono-metrischer Sicht nicht vernachlässigt werden sollten. Interbank credit markets, and especially the unsecured overnight segment, are important for the entire financial system from various perspectives. On these markets banks can efficiently trade liquidity or thereby comply with obligations in payment and settlement systems. Distortions in the procurement of liquidity also have a negative impact on the microeconomic level, as these affect the credit conditions of households and firms. Since interbank credit markets are considered as the first transmission channel of economic policy, these markets also play an important role from a macroeconomic perspective. From a practical and scientific perspective, interest in these markets was rather limited until the outbreak of the financial crisis in 2007. The main reasons were the good functioning of the markets and the short term of the loans. This changed with the outbreak of the financial crisis in August 2007. A major problem in the analysis of the interbank credit markets is the availability of data. In the context of this dissertation, a data set of the only organized interbank credit market in the Eurozone and the USA, the e-MID market, is used as a data basis. The focus here is on overnight loans as these reflect the majority of the transactions. Another focus will be on the different market conditions before, during and after the financial crisis of 2007 and onwards. The first two chapters of the dissertation are devoted to intraday yield curves and thus to the question of how interbank rates change during the day. The first chapter shows for the first time that interest rates can be modeled empirically using the non-linear Nelson Siegel model. The results suggest that interest rates are not only linear and, above all, falling, as previously assumed, but that non-linearities can also play a major role. Furthermore, a high level of adaptation is achieved, which is significantly high, particularly in times of crisis. In the second chapter, three models for estimating these intraday yield curves are compared for the first time. The empirical results show that all three models are suitable for estimating the intraday yield curves and that the Svensson model should be preferred over the other two models. The third chapter includes the analysis of daily transactions and volumes on the e-MID market. Here, for the first time, the transactions are divided into buy and sell transactions, and their distributions are compared with one another, taking into account different market conditions. The empirical results suggest that these trends should not be neglected from both an economic and an econometric point of view. | ger |
| dcterms.abstract | Interbank credit markets, and especially the unsecured overnight segment, are important for the entire financial system from various perspectives. On these markets banks can efficiently trade liquidity or thereby comply with obligations in payment and settlement systems. Distortions in the procurement of liquidity also have a negative impact on the microeconomic level, as these affect the credit conditions of households and firms. Since interbank credit markets are considered as the first transmission channel of economic policy, these markets also play an important role from a macroeconomic perspective. From a practical and scientific perspective, interest in these markets was rather limited until the outbreak of the financial crisis in 2007. The main reasons were the good functioning of the markets and the short term of the loans. This changed with the outbreak of the financial crisis in August 2007. A major problem in the analysis of the interbank credit markets is the availability of data. In the context of this dissertation, a data set of the only organized interbank credit market in the Eurozone and the USA, the e-MID market, is used as a data basis. The focus here is on overnight loans as these reflect the majority of the transactions. Another focus will be on the different market conditions before, during and after the financial crisis of 2007 and onwards. The first two chapters of the dissertation are devoted to intraday yield curves and thus to the question of how interbank rates change during the day. The first chapter shows for the first time that interest rates can be modeled empirically using the non-linear Nelson Siegel model. The results suggest that interest rates are not only linear and, above all, falling, as previously assumed, but that non-linearities can also play a major role. Furthermore, a high level of adaptation is achieved, which is significantly high, particularly in times of crisis. In the second chapter, three models for estimating these intraday yield curves are compared for the first time. The empirical results show that all three models are suitable for estimating the intraday yield curves and that the Svensson model should be preferred over the other two models. The third chapter includes the analysis of daily transactions and volumes on the e-MID market. Here, for the first time, the transactions are divided into buy and sell transactions, and their distributions are compared with one another, taking into account different market conditions. The empirical results suggest that these trends should not be neglected from both an economic and an econometric point of view. | eng |
| dcterms.accessRights | open access | |
| dcterms.creator | Demertzidis, Anastasios | |
| dcterms.dateAccepted | 2020-05-06 | |
| dcterms.extent | VIII, 113, IX-XXII Seiten | |
| kup.iskup | false |