The Daily Market for Funds in Europe: Mathematical Appendix

Universitat Pompeu Fabra Working Paper No. 496

33 Pages Posted: 25 Jan 2001

Date Written: July 21, 2000

Abstract

This paper includes the derivations of the main expressions in the paper "The Daily Market for Funds in Europe: Has Something Changed With the EMU?" by G. Perez Quiros and H. Rodriguez Mendizabal.

Keywords: Overnight rates, reserve demand, Martingale hypothesis

JEL Classification: E44, E52

Suggested Citation

Perez-Quiros, Gabriel and Rodríguez Mendizábal, Hugo, The Daily Market for Funds in Europe: Mathematical Appendix (July 21, 2000). Universitat Pompeu Fabra Working Paper No. 496, Available at SSRN: https://ssrn.com/abstract=246517 or http://dx.doi.org/10.2139/ssrn.246517

Gabriel Perez-Quiros (Contact Author)

Banco de España ( email )

Madrid 28014
Spain

Hugo Rodríguez Mendizábal

Institut d'Anàlisi Econòmica (CSIC) ( email )

UAB Campus
E-08193 Bellaterra
Spain

HOME PAGE: http://rodriguez.iae-csic.org/

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