Journal of Financial Market Infrastructures

Risk.net

Inferring unsecured interbank loans and interest rates from interbank payments: an evaluation

Q. Farooq Akram and Casper Christophersen

ABSTRACT

We identify overnight loans and interest rates among interbank payments for eleven banks in Norway and compare them with the banks' actual overnight loans and interest rates over the period October 4, 2011-July 31, 2012. We find that interbank payments provide reliable information about overnight lending and overnight interest rates at the market level and even at the bank level for relatively small overnight lenders and large overnight lenders that mostly lend on their own behalf.

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