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The intraday interest rate under a liquidity crisis: The case of August 2007

Angelo Baglioni () and Andrea Monticini

Economics Letters, 2010, vol. 107, issue 2, 198-200

Abstract: 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.

Keywords: Intraday; interest; rate; Liquidity; crisis; Money; market (search for similar items in EconPapers)
Date: 2010
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