This paper develops a methodology, based on Furfine (1999), for identifying unsecured interbank money market loans from the transaction data of the euro payment processing system TARGET2, for maturities ranging from one day up to three months with the aim of building a database available internally at the Eurosystem for monetary policy, financial stability and research purposes.
The implementation has been verified with (i) interbank money market transactions executed on the e-MID Italian electronic trading platform and (ii) aggregated reporting by the EONIA panel banks.
The Type2 (false negative) error for the best performing algorithm setup is 0.92%. We find aggregated interest rates very close to the EONIA but observe a high degree of heterogeneity across countries and market participants.
The different stages of the global financial crisis and of the sovereign debt crises are clearly revealed in the interbank money market by significant drops in turnover. The results focus on three levels: euro-area, country group and country (Italy and the Netherlands).
