Pricing in the Norwegian interbank market – the effects of liquidity and implicit government support

Qaisar Akram and Casper Christophersen

No 2016/2, Working Paper from Norges Bank

Abstract: We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over the period 2006-2009, which includes the sharp fall in interbank trading during the financial crisis. Our findings suggest relatively lower funding costs for banks of systemic importance, particularly for banks with many and valuable linkages to other banks. Moreover, interest rates are found to depend not only on overall liquidity in the interbank market, but on its distribution among banks as well. There is also evidence of stronger effects on interest rates of systemic importance, creditworthiness and liquidity demand and supply factors during the financial crisis.

Keywords: Interbank money market; Interest rates; Systemic importance (search for similar items in EconPapers)
JEL-codes: E43 E58 G21 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2015-02-01
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-mac and nep-net
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.norges-bank.no/en/Published/Papers/Working-Papers/2016/22016/

Related works:
Journal Article: Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2016_02

Access Statistics for this paper

More papers in Working Paper from Norges Bank Contact information at EDIRC.
Bibliographic data for series maintained by ().