The daily market for funds in Europe: Mathematical appendix

This paper includes the derivations of the main expressions in the paper ``The Daily Market for Funds in Europe: Has Something Changed With the EMU?'' by G. Pérez Quirós and H. Rodríguez Mendizábal.Overnight rates, reserve demand, martingale hypothesis

The daily market for funds in Europe: Has something changed with the EMU?

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.Overnight rates, reserve demand, Martingale hypothesis

Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.Monetary policy implementation; standing facilities; overnight interest rates; fine-tuning operations.

Towards a Unified Framework for Declarative Structured Communications

We present a unified framework for the declarative analysis of structured communications. By relying on a (timed) concurrent constraint programming language, we show that in addition to the usual operational techniques from process calculi, the analysis of structured communications can elegantly exploit logic-based reasoning techniques. We introduce a declarative interpretation of the language for structured communications proposed by Honda, Vasconcelos, and Kubo. Distinguishing features of our approach are: the possibility of including partial information (constraints) in the session model; the use of explicit time for reasoning about session duration and expiration; a tight correspondence with logic, which formally relates session execution and linear-time temporal logic formulas