The intraday interest rate under a liquidity crisis: The case of August 2007
By analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.
Year of publication: |
2010
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Authors: | Baglioni, Angelo ; Monticini, Andrea |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 198-200
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Publisher: |
Elsevier |
Keywords: | Intraday interest rate Liquidity crisis Money market |
Saved in:
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