Does a bank levy increase frictions on the interbank market?
Aneta Hryckiewicz,
Piotr Mielus,
Karolina Skorulska and
Malgorzata Snarska
No 2018-033, KAE Working Papers from Warsaw School of Economics, Collegium of Economic Analysis
Abstract:
The crisis has shown that a drop in liquidity, as well as the shortened maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets in Poland has affected the interbank market, as well as money market pricing. Analyzing daily volume and number of interbank transactions, along with daily bank quotes, we document that the bank levy has significantly reduced trading intensity on the market, shortening the maturity of transactions. We also find that it has increased the dispersion of bank quotes for short-term transactions, while at the same time ''killing'' interbank long-term transactions, including the pricing for this market. The regulators should re-think the nature of bank levies in several countries, as they negatively affect the functioning of the interbank market and brings intoquestion the credibility of interbank benchmarks.
Keywords: C32; G28; E43; C54 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2018-03
New Economics Papers: this item is included in nep-ban, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/20.500.12182/1165 (application/pdf)
Related works:
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:sgh:kaewps:2018033
Access Statistics for this paper
More papers in KAE Working Papers from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Dariusz Nojszewski (dariusz.nojszewski@sgh.waw.pl).