The unsecured interbank money market : a description of the Portuguese case
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/17284 |
Resumo: | Money markets were severely impaired by the nancial and subsequent sovereign debt crises. Although the euro money market has been studied substantially, little has been done for the particular case of Portugal. This thesis investigates how the Portuguese part of the euro unse- cured interbank money market was a ected by the two consecutive crises. I constructed and adapted a Fur ne-based algorithm to identify the loans traded and settled in TARGET2, in which at least one of the counterpar- ties is a Portuguese bank. Identi ed loans have overnight and one-week maturities. Data shows a clear trend towards a closed interbank money market. In addition, there is a visibly signi cant reduction in the num- ber of times banks trade in the market, accompanied by a parallel drop in volumes transacted. Finally, I nd that interest rates rise above the benchmark and those in the domestic market are persistently higher than rates agreed upon through cross-border operations. |
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The unsecured interbank money market : a description of the Portuguese caseDomínio/Área Científica::Ciências Sociais::Economia e GestãoMoney markets were severely impaired by the nancial and subsequent sovereign debt crises. Although the euro money market has been studied substantially, little has been done for the particular case of Portugal. This thesis investigates how the Portuguese part of the euro unse- cured interbank money market was a ected by the two consecutive crises. I constructed and adapted a Fur ne-based algorithm to identify the loans traded and settled in TARGET2, in which at least one of the counterpar- ties is a Portuguese bank. Identi ed loans have overnight and one-week maturities. Data shows a clear trend towards a closed interbank money market. In addition, there is a visibly signi cant reduction in the num- ber of times banks trade in the market, accompanied by a parallel drop in volumes transacted. Finally, I nd that interest rates rise above the benchmark and those in the domestic market are persistently higher than rates agreed upon through cross-border operations.Carvalho, Maria Isabel Sanchez Horta Correia Rio deVeritati - Repositório Institucional da Universidade Católica PortuguesaSaldanha, Ana Sofia de Jesus Dâmaso2015-04-22T13:50:14Z2015-02-2020142015-02-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/17284TID:201181533enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-26T01:36:49Zoai:repositorio.ucp.pt:10400.14/17284Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:14:28.971359Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The unsecured interbank money market : a description of the Portuguese case |
title |
The unsecured interbank money market : a description of the Portuguese case |
spellingShingle |
The unsecured interbank money market : a description of the Portuguese case Saldanha, Ana Sofia de Jesus Dâmaso Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The unsecured interbank money market : a description of the Portuguese case |
title_full |
The unsecured interbank money market : a description of the Portuguese case |
title_fullStr |
The unsecured interbank money market : a description of the Portuguese case |
title_full_unstemmed |
The unsecured interbank money market : a description of the Portuguese case |
title_sort |
The unsecured interbank money market : a description of the Portuguese case |
author |
Saldanha, Ana Sofia de Jesus Dâmaso |
author_facet |
Saldanha, Ana Sofia de Jesus Dâmaso |
author_role |
author |
dc.contributor.none.fl_str_mv |
Carvalho, Maria Isabel Sanchez Horta Correia Rio de Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Saldanha, Ana Sofia de Jesus Dâmaso |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Money markets were severely impaired by the nancial and subsequent sovereign debt crises. Although the euro money market has been studied substantially, little has been done for the particular case of Portugal. This thesis investigates how the Portuguese part of the euro unse- cured interbank money market was a ected by the two consecutive crises. I constructed and adapted a Fur ne-based algorithm to identify the loans traded and settled in TARGET2, in which at least one of the counterpar- ties is a Portuguese bank. Identi ed loans have overnight and one-week maturities. Data shows a clear trend towards a closed interbank money market. In addition, there is a visibly signi cant reduction in the num- ber of times banks trade in the market, accompanied by a parallel drop in volumes transacted. Finally, I nd that interest rates rise above the benchmark and those in the domestic market are persistently higher than rates agreed upon through cross-border operations. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014 2015-04-22T13:50:14Z 2015-02-20 2015-02-20T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/17284 TID:201181533 |
url |
http://hdl.handle.net/10400.14/17284 |
identifier_str_mv |
TID:201181533 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131823856418816 |