Inferring Interbank Loans and Interest Rates from Interbank Payments - An Evaluation

31 Pages Posted: 23 Jan 2014

Date Written: December 23, 2013

Abstract

We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual overnight loans and interest rates reported daily by these banks to the Norwegian central bank since October 2011. We find that interbank payments can provide reliable information about overnight lending and overnight interest rates at the market level, and even at the bank level, for relatively small overnight lenders and large overnight lenders that mostly lend on their own behalf.

Keywords: Furfine, Overnight interbank rates, Interbank payments

JEL Classification: G21, E42, E43

Suggested Citation

Akram, Qaisar Farooq and Christophersen, Casper, Inferring Interbank Loans and Interest Rates from Interbank Payments - An Evaluation (December 23, 2013). Norges Bank Working Paper 2013/26. Available at SSRN: https://ssrn.com/abstract=2383141 or http://dx.doi.org/10.2139/ssrn.2383141

Qaisar Farooq Akram (Contact Author)

Norges Bank ( email )

Bankplassen 2
P.O. Box 1179
Oslo, N-0107
Norway

Casper Christophersen

Norges Bank - Research Department ( email )

P.O. Box 1179
Oslo, N-0107
Norway

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