Exploring an uncharted market: Evidence on the unsecured Swiss franc money market

To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. FURFINE 1999 introduced the idea of calculating unsecured overnight interbank lending by using data of a RTGS system. Based on data from the Swiss payment system (SIC) we...

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Bibliographic Details
Published inAussenwirtschaft Vol. 66; no. 1; pp. 59 - 139
Main Authors Guggenheim, Basil, Kränzlin, Sébastien, Schumacher, Silvio
Format Journal Article
LanguageEnglish
Published Bern Hochschule St. Gallen für Wirstchafts- und Socialwissenschaften 01.03.2011
Subjects
Algorithms
Bank loans
Central banks
Development
Economic crisis
Economic stability
Economic stabilization
Economic theory
Federal funding
Interest rates
LIBOR
Loans
Market
Monetary economics
Money
Money markets
Payment systems
Securities markets
Sovereign debt
Swiss franc
Switzerland
Switzerland
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Summary:To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. FURFINE 1999 introduced the idea of calculating unsecured overnight interbank lending by using data of a RTGS system. Based on data from the Swiss payment system (SIC) we developed an algorithm to identify unsecured interbank loans in Swiss francs. In contrast to FURFINE 1999 we also identify longer term transactions. We thereby gain a deeper insight on the size and structure of the unsecured interbank money market in Swiss francs. This is the first time that SIC data have been used to identify transactions and market rates in the unsecured Swiss franc money market. Overall, the estimates show that after the collapse of Lehman Brothers loss of confidence led to a freezing-up of the market for several months and a decrease in daily turnover. [PUB ABSTRACT]
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ISSN:0004-8216