The Intraday Price of Money: Evidence from the e‐MID Interbank Market
基于2003-2004年欧元区银行间市场逐笔数据，发现隔夜利率在交易日内呈下行趋势，隐含正的小时日利率（半个基点），并解释这一现象源于实时结算趋势，且日内利率低于美国因央行日间信贷成本不同。
We provide empirical evidence, based on tick‐by‐tick data for the e‐MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid‐1990s: we explain this evolution as an outcome of the recent trend toward real‐time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit.