Exploring An Uncharted Market: Evidence On The Unsecured Swiss Franc Money Market
To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. Furfine (1999) introduced the idea of calculating unsecured overnight interbank lending by using data of a RTGS system. Based on data from the Swiss Payment System (SIC), the authors developed an algorithm to identify unsecured interbank loans in Swiss francs. In contrast to Furfine (1999) they also identify longer-term transactions. They thereby gain a deeper insight on the size and structure of the unsecured interbank money market in Swiss francs.