Implicit Intraday Interest Rate in the UK Unsecured Overnight Money Market

35 Pages Posted: 24 Mar 2012

Multiple version iconThere are 3 versions of this paper

Date Written: March 19, 2012


This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large-value payments system (CHAPS) in 2003-09, we find a positive and economically significant intraday interest rate. While the implicit intraday interest rate is quite small pre-crisis, it increases more than tenfold during the financial crisis of 2007-09. The key interpretation is that an increase in the implicit intraday interest rate reflects the increased opportunity cost of pledging collateral intraday and can be used as an indicator to gauge the stress of the payment system. We obtain qualitatively similar estimates of the intraday interest rate using quoted intraday bid and offer rates and confirm that our results are not driven by the intraday variation in the bid-ask spread.

Keywords: interbank money market, intraday liquidity

JEL Classification: E42, E58, G21

Suggested Citation

Jurgilas, Marius and Zikes, Filip, Implicit Intraday Interest Rate in the UK Unsecured Overnight Money Market (March 19, 2012). Bank of England Working Paper No. 447, Available at SSRN: or

Marius Jurgilas

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107

Filip Zikes (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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