'The Devil is in the Details, But so is Salvation': Different Approaches in Money Market Measurement

40 Pages Posted: 19 Jan 2021

Date Written: 2020

Abstract

Considerable resources have been devoted to gathering data for the measurement of money market activity. However, little is known about the differences between available data and the structural effects of methodological choices. We use the novel dataset MMSR and compare it to data derived from a Furfine-type algorithm and survey data. The deviations in volumes and interest rates are driven by the asymmetric measurement of transactions, in particular affecting individual classes of banks, cross-border loans and specific types of loans. These differences are significant in terms of magnitude and affect overall rates and volumes. Even fundamental questions like the share of cross-border transactions depend on which data is used.

JEL Classification: C80, E42, E50, G10, G21

Suggested Citation

Müller, Alexander and Paulick, Jan, 'The Devil is in the Details, But so is Salvation': Different Approaches in Money Market Measurement (2020). Deutsche Bundesbank Discussion Paper No. 66/2020, Available at SSRN: https://ssrn.com/abstract=3767293

Alexander Müller (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Jan Paulick

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

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