3 documents found, page 1 of 1
Flip the coin: Heads, tails or cryptocurrencies?
Duarte, António Manuel Portugal; Murta, Fátima Teresa Sol; Silva, Nuno Baetas da; Vieira, Beatriz RodriguesThis paper analysis and compares the volatility of seven cryptocurrencies – Bitcoin, Dogecoin, Ethereum, BitcoinCash, Ripple, Stellar and Litecoin – to the volatility of seven centralized currencies – Yuan, Yen, Canadian Dollar, Brazilian Real, Swiss Franc, Euro and British Pound. We estimate GARCH models to analyze their volatility. The results point to a considerably high volatility of cryptocurrencies when c...
The Demand for Excess Reserves in the Euro Area and the Impact of the Current C...
Murta, Fátima Teresa Sol; Garcia, Ana MargaridaOne of the risks that banks need to manage, in their financial intermediation activities, is liquidity risk. Thus, banks hold reserves for precautionary reasons, in order to keep enough cash to meet their obligations. In this work, we analyze the demand for excess reserves by Euro Area banks, since the change in the framework of the single monetary policy in March 2004. Our main conclusions are that there is a ...
The Portuguese Money Market: An analysis of the daily session
Murta, Fátima Teresa SolWe use intra-daily data related to the Portuguese Money Market to analyse the evolution of the volume of operations, interest rate and interest rate volatility throughout the daily market session. We find a pattern in the volatility, which differs according to the stage of the reserves maintenance period. The interest rate volatility does not show a U-shaped pattern across the trading day, which we explain thro...