Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The intraday interest rate under a liquidity crisis: the case of August 2007 (2008) Downloads
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:

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2020-02-19
Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:198-200