Table 2 Regression results
From: (In)efficiencies of current financial market infrastructures: an empirical assessment
All (Interbank and SNB) Interbank, | term Interbank, | Overnight | ||||
|---|---|---|---|---|---|---|
Variables | Coeff. | Cum. effect | Coeff. | Cum. effect | Coeff. | Cum. effect |
Average settlement time | ||||||
Constant | − 4.917*** | 00:10 | − 5.492*** | 00:05 | − 6.292*** | 00:02 |
Hypothesis 1: Domestic cash provider and taker | ||||||
CP dom. | − 1.247*** | − 71.3% | − 2.515*** | − 91.9% | − 1.219*** | − 70.4% |
CP dom._FXI | 0.507*** | − 52.3% (0.00) | 1.487** | − 64.25% (0.00) | 0.892*** | − 27.9% (0.00) |
CP dom._Liq | 0.888*** | − 30.17% (0.00) | 1.878** | − 47.11% (0.00) | 1.084*** | − 12.61% (0.17) |
CP dom._NZ | 1.565*** | 37.38% (0.00) | 2.642*** | 13.45% (0.21) | 1.024*** | − 17.67% (0.00) |
CT dom. | − 0.496*** | − 39.1% | 0.278 | 32.0% | − 0.210* | − 18.9% |
CT dom._FXI | − 0.470*** | − 61.94% (0.00) | − 0.473* | − 17.71% (0.00) | − 0.453*** | − 48.43% (0.00) |
CT dom._Liq | − 1.283*** | − 83.11% (0.00) | − 1.279*** | − 63.26% (0.00) | − 1.529*** | − 82.42% (0.00) |
CT dom._NZ | − 0.832*** | − 73.49% (0.00) | − 2.218*** | − 85.63% (0.00) | 0.227 | 1.8% (0.82) |
Hypothesis 2: cash balances at the SNB | ||||||
Reserves | − 0.092*** | − 0.09% | − 0.100*** | − 0.10% | − 0.141*** | − 0.14% |
Reserves_FXI | − 0.056*** | − 0.15% (0.00) | − 0.029 | − 0.13% (0.00) | − 0.038* | − 0.18% (0.00) |
Reserves_Liq | − 0.098*** | − 0.19% (0.00) | − 0.011 | − 0.11% (0.00) | − 0.028 | − 0.17% (0.00) |
Reserves_NZ | − 0.147*** | − 0.24% (0.00) | − 0.117*** | − 0.22% (0.00) | − 0.024 | − 0.17% (0.00) |
Hypothesis 3: number of securities | ||||||
coll. | − 0.762*** | − 0.76% | − 1.033*** | − 1.03% | − 0.138* | − 0.14% |
coll._FXI | 0.405*** | − 0.36% (0.00) | 0.346*** | − 0.69% (0.00) | − 0.024 | − 0.16% (0.00) |
coll._Liq | 0.470*** | − 0.29% (0.00) | 0.659*** | − 0.37% (0.00) | 0.051 | − 0.09% (0.00) |
coll._NZ | 0.693*** | − 0.07% (0.00) | 1.008*** | − 0.03% (0.36) | − 0.136* | − 0.27% (0.00) |
Hypothesis 4: size and term of transaction | ||||||
Size | 0.731*** | 0.73% | 1.109*** | 1.11% | 0.183*** | 0.18% |
Size_FXI | − 0.483*** | 0.25% (0.00) | − 0.685*** | 0.42% (0.00) | 0.143* | 0.33% (0.00) |
Size_Liq | − 0.242*** | 0.49% (0.00) | − 0.625*** | 0.48% (0.00) | 0.493*** | 0.68% (0.00) |
Size_NZ | − 0.467*** | 0.26% (0.00) | − 0.743*** | 0.37% (0.00) | 0.281*** | 0.46% (0.00) |
Term | 0.352*** | 0.35% | 0.571*** | 0.57% | ||
Term_FXI | − 0.328*** | 0.02% (0.00) | − 0.223** | 0.35% (0.00) | ||
Term_Liq | − 0.376*** | − 0.02% (0.05) | − 0.661*** | − 0.09% (0.00) | ||
Term_NZ | − 0.396*** | − 0.04% (0.00) | − 0.452*** | 0.12% (0.00) | ||
Hypothesis 5: market stress and level of volatility | ||||||
MOVE | − 0.009*** | − 0.91% | − 0.008** | − 0.75% | 0.000 | − 0.02% |
MOVE_FXI | 0.009*** | − 0.05% (0.15) | 0.008** | 0.03% (0.74) | − 0.006** | − 0.61% (0.00) |
MOVE_Liq | 0.010*** | 0.14% (0.08) | 0.013*** | 0.51% (0.00) | − 0.007*** | − 0.76% (0.00) |
MOVE_NZ | 0.013*** | 0.36% (0.00) | 0.008** | 0.03% (0.86) | − 0.010*** | − 0.97% (0.00) |
Hypothesis 6: settlement discipline for SNB transactions | ||||||
IB | 0.801*** | 122.7% | ||||
IB_FXI | 0.182* | 167.1% (0.00) | ||||
IB_Liq | − 0.588*** | 23.66% (0.00) | ||||
IB_NZ | − 1.011*** | − 19.02% (0.09) | ||||
For ON transactions: time in day | ||||||
cr. time | − 3.251*** | − 3.3% | ||||
cr. time_FXI | 0.655*** | − 2.6% (0.00) | ||||
cr. time_Liq | 1.406*** | − 1.84% (0.00) | ||||
cr. time_NZ | 1.620*** | − 1.63% (0.00) | ||||
No. obs | 123,456 | 23,783 | 28,904 | |||
Adj. | R2 0.274 | 0.32 | 0.334 | |||