TAILIEUCHUNG - WORKING PAPER SERIES NO. 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET

Numerous market participants and Federal Reserve staff members generously provided information that was helpful in writing this edition of Instruments of the Money Market. These include Lawrence Aiken, Federal Reserve Bank of New York; Keith Amburgey, International Swap Dealers Association; Albert C. Bashawaty, Morgan Guaranty Trust Co.; Jackson L. Blanton, Federal Reserve Bank of Richmond; Richard S. Cohen, Chase Manhattan Bank, N. A.; Jerome Fons, Moody's Investors Service; David Humphrey, Florida State University; Ira G. Kawaller, Chicago Mercantile Exchange; Thomas A. Lawler, Federal National Mortgage Association; Patrick M. Parkinson, Board of Governors of. | EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 351 I APRIL 2004 by Vitor Gaspar Gabriel Pérez Quirós and Hugo Rodríguez Mendizábal INTEREST RATE DETERMINATION IN THE INTERBANK MARKET EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 351 I APRIL 2004 INTEREST RATE DETERMINATION IN THE INTERBANK MARKET1 by Vitor Gaspar2 Gabriel Pérez Quirós3 and Hugo Rodríguez Mendizabal4 In 2004 all publications will carry a motif taken from the 100 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 533013. I The views expressed are authors own and do not necessarily reflect those of the ECB the Bank of Spain or the thank the anonymous referee H-J Klockers Fernando Restoy Ulrich Bindseil and seminar participants at the Bank of Spain ECB Centra and University of Alicante for helpful comments and also thank the European Banking Federation for graciously sharing their data. Rodríguez Mendizábal aknowledges financial support from the Spanish Ministry of Science and Technology through grant SEC2000-0684 and SEC2003-0036 and from the Barcelona Economics Program of CREA. 2 European Central Bank 3 Banco de Espana and CEPR 4 Universitat Autònoma de Barcelona and CENTRA European Central Bank 2004 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Internet http Fax 49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Reproduction for educational and noncommercialpurposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Bank. The statement of purpose for the ECB Working Paper Series is availablefrom the ECB website http . ISSN1561-0810 print ISSN 1725-2806 online

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