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Improving overnight loan identification in payments systems

Author: Mark Rempel; Bank of Canada,
Publisher: Ottawa, Ontario : Bank of Canada = Banque du Canada, 2014. ©2014
Series: Working paper (Bank of Canada), 2014-25.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. The veracity of the data identified, however, is not well established. Using permutation methods, the author estimates an upper bound on the daily false positive rate of this algorithm to be slightly above 10%. He  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mark Rempel; Bank of Canada,
OCLC Number: 883939544
Language Note: Includes abstracts in English and French.
Notes: Distributed by the Government of Canada Depository Services Program (Weekly checklist 2014-26).
"June 2014."
Description: 1 online resource (iii, 22 pages).
Series Title: Working paper (Bank of Canada), 2014-25.
Responsibility: by Mark Rempel.

Abstract:

"Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. The veracity of the data identified, however, is not well established. Using permutation methods, the author estimates an upper bound on the daily false positive rate of this algorithm to be slightly above 10%. He author proposes refinements that reduce the bound below 10% with negligible power loss. The results suggest that the inferred prices and quantities of overnight loans do provide viable estimates of interbank lending market activity."--Abstract.

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