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The interbank marke...
The interbank market risk premium, central bank interventions, and measures of market liquidity
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- Alexius, Annika (författare)
- Stockholms universitet,Nationalekonomiska institutionen
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- Birenstam, Helene (författare)
- Stockholms universitet,Statistiska institutionen
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Eklund, Johanna (författare)
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(creator_code:org_t)
- Elsevier BV, 2014
- 2014
- Engelska.
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Ingår i: Journal of International Money and Finance. - : Elsevier BV. - 0261-5606 .- 1873-0639. ; 48, s. 202-217
- Relaterad länk:
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http://www2.ne.su.se...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- When the interbank market risk premium soared during the financial crisis, it created a wedge between interest rates actually paid by private agents and the rapidly falling policy rates. Many central banks attempted to improve the situation by supplying liquidity to the domestic interbank market. This paper studies the Swedish interbank market risk premium using a unique data set on traded volume between banks and between banks and the Riksbank. We find that the main determinants of the Swedish interbank premium are international variables, such as US and EURO area risk premia. International exchange rate volatility and the EURO/USD deviations from CIP also matters, while standard measures of domestic market liquidity and domestic credit risk have insignificant effects. Nonlinear smooth transition (STR) models show that U.S. financial variables are more important in times of a rising U.S. risk premium. Our measure of actual turnover in the interbank market is associated with a significant reduction of the interbank market risk premium, as are credit provisions by the central bank.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
Nyckelord
- Interbank market risk premium
- Liquidity risk
- Credit risk
- Credit provisions
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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