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Sweep accounts, reserve management, and interest rate volatility

VanHoose, David D.; Humphrey, David B. - In: Journal of economics & business 53 (2001) 4, pp. 387-404

Persistent link: https://www.econbiz.de/10001594952

Understanding reserve volatility in emerging markets : a look at the last thirty years

Demarmels, Ricarda; Fischer, Andreas M. - 2002

Persistent link: https://www.econbiz.de/10001698871

Stress testing of financial systems : an overview of issues, methodologies, and FSAP experiences

Blaschke, Winfrid; Jones, Matthew T.; Majnoni, Giovanni; … - 2001

Persistent link: https://www.econbiz.de/10001612421

Understanding reserve volatility in emerging markets : a look at the long-run

Demarmels, Ricarda; Fischer, Andrea M. - 2003

Persistent link: https://www.econbiz.de/10001766891

Interbank payments and the daily federal funds rate

Furfine, Craig H. - In: Journal of monetary economics 46 (2000) 2, pp. 535-553

Persistent link: https://www.econbiz.de/10001506992

Falling reserve balances and the federal funds rate

Bennett, Paul - In: Current issues in economics and finance 3 (1997) 5

Persistent link: https://www.econbiz.de/10001220728

Interbank payments and the daily federal funds rate

Furfine, Craig H. - 1998

Persistent link: https://www.econbiz.de/10000990237

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

Persistent link: https://www.econbiz.de/10013141038

Managing Bank Liquidity Risk : How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan - 2006

-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits …

Persistent link: https://www.econbiz.de/10012780123

Financial Sector Projections and Stress Testing in Financial Programming : A New Framework

Basu, Ritu - 2006

This paper proposes a framework to check for consistency between the IMF's standard country surveillance tool, namely medium-term projections of the macroeconomic framework (including the real, fiscal, external, and monetary sectors), and the financial sector. Consistency here entails that the...

Persistent link: https://www.econbiz.de/10012780449