Browsing Norges Banks vitenarkiv by Author "Monticini, Andrea"
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Forecasting the Intraday Market Price of Money
Monticini, Andrea; Ravazzolo, Francesco (Working Papers;6/2011, Working paper, 2011)Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents ...