Daytime Is Money
基于瑞士法郎隔夜银行间回购市场交易数据，研究发现存在隐性日内货币市场，并证明外汇结算系统CLS提高了结算周期内日内流动性的隐性价值，且金融危机期间有担保货币市场的日内利率受影响较小。
Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable insights into the daytime value of money. In analogy to Baglioni and Monticini (2008) , we provide evidence that an implicit intraday money market exists. We further show that the introduction of foreign exchange settlement system, Continuous Linked Settlement, increased the implicit value of intraday liquidity during settlement cycle hours, thus providing further evidence of the cost of immediacy. Finally, we provide evidence that during the financial market turmoil the implicit intraday interest in a secured money market was less affected than that in an unsecured money market.