Proceedings of Annual Paris Business and Social Science Research Conference
7 - 8 August 2014, Hotel Crowne Plaza Republique, Paris, France, ISBN: 978-1-922069-57-3
Empirical Estimation of Intraday Yield Curves on the Italian
Electronic Interbank Credit Market – eMID
Anastasios Demertzidis1and Vahidin Jeleskovic2
This paper comes up with the major novelty: that is the empirical estimation of the
intraday yield curves on the most transparent Interbank Credit market eMID. For the
purpose of the analyzing the consequences of the recent financial crisis, we split data in
four periods which includes times before, during and after the events caused by the
bankruptcy of Lehman Brothers. We provide a variety of descriptive statistics of the data
from eMID and estimate the intraday yield curves using the Nelson Siegel model. These
estimations have shown that dynamics in the intraday yield curves during the turmoil on
financial markets became highly noticeable resulting in the significantly better
performance and significantly better goodness-of-fit of the empirical model in this period.
Hence, one could implicate that investors on the interbank credit market base their
investment calculation and decisions on the effects of the intraday dynamics rather during
a financial crises while outside of the financial crises time their acting on the interbank
credit market might be just a byproduct of investment decisions on lower frequencies.
Hence, the observation of similar intraday dynamics of intraday yield curves can be used
as a potential indication of financial crises.
Keywords: Interbank Credit Market, Emid, Nelson Siegel Model, Yield Curve
Estimation
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1
Department of Economics, Quantitative Methods in Economics, University of Kassel, Nora-Platiel-Str. 4,
D-34109 Kassel. Email: a.demertzidis@gmail.com
2
Department of Economics, Quantitative Methods in Economics, University of Kassel, Nora-Platiel-Str. 4,
D-34109 Kassel. Email: Jeleskovic@uni-kassel.de