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1、JournalofInternationalMoneyandFinance20(2001)895948www.elsevier.com/locate/econbaseThemicrostructureoftheeuromoneymarket*PhilippHartmann,MicheleManna,Andre´sManzanaresECB,DGResearch,Kaiserstrabsse29,60311Frankfurt,GermanyAbstractThispaperprovidesanempiricalexaminationofthemicros
2、tructureoftheeuromoneymarket,especiallytheovernightmarket,theinterbankmarketforshort-termfundsinthetrans-nationalcurrencycreatedinJanuary1999.Theinstitutionalframeworkshapingthemicrostruc-tureofthemoneymarketcanbedelimitedastheunionof:(1)centralbanksinterest-settingbodiesandthei
3、rlong-termpolicystrategy;(2)instrumentsformonetarypolicyoperationsandliquiditymanagement;(3)theprivatemarketfinancialinstrumentsandtradingmechanismsforfunds;and,(4)thepaymentandsettlementinfrastructureforthetransferofthosefunds.Allfourelementscansignificantlyinfluencetheintradaybeh
4、aviourofmoneymarketrates.Tostudytheireffectsontheeuromoneymarket,5monthsofintradaydataforovernightdepositshavebeenrecordedfrombrokersinfoureuroareacountriesandtheUK(postingtheirquotesonReuters)andfromtheItalianelectronicmarketMID.Theresultsshowtwo-humpshaped(oru-shaped)intradayp
5、atternsofquotingfrequencyandvolatility,butflatterintradaypatterns(sometimesweaklysinglehump-shaped)forbid-askspreads.Evenintradayovernightratelevelshardlydifferacrossbrokerslocatedindifferenteuroareacountries,reflectingthehighintegrationofthismarketalreadyshortlyaftertheintroducti
6、onoftheeuro,despitesomeremainingheterogeneitiesinmarketstructuresandtradingchannels.Quotingactivity,ratevolatilityandspreadsincreaseonECBGoverningCouncildays,particularlyafterthe1.45pmreleasetimeofinterestratedecisions.However,sincetheamplitudeofthisvola-tilityiseconomicallysmal
7、landsinceturnoversarenotindicativeofadverseselection,theaveragedegreeofpolicyuncertaintyseemstohavebeenratherlimitedduringoursampleperiod.ECBannouncementsofnewM3data,relatedtothefirstpillarofitsmonetarypolicystrategy,around10amseemtobeassociatedwithverymoderateincreasesinshort-te
8、rmvola-tility.TuesdaysEurosystemmainrefinancinga
