Norwegian Overnight Interbank Interest Rates

Qaisar Akram and Casper Christophersen

Computational Economics, 2013, vol. 41, issue 1, 29 pages

Abstract: This article addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement (RTGS) system of Norges Bank over the period October 2006–November 2010. We propose a new measure of overnight interest rates, NONIA, which may be calculated daily as a value-weighted average of overnight interest rates on individual loans. This may supplement information provided by indicative interest rates such as NIBOR. We also compute an indicator based on dispersion of interest rates across individual loans and the spread between NONIA and the key policy rate. The indicator may be useful for assessing whether overnight interest rates are close to Norges Bank’s key policy rate, consistent with its liquidity policy objective. Copyright Springer Science+Business Media, LLC. 2013

Keywords: Interbank money market; Interest rates; RTGS; G21; E42; E43; E58 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10614-011-9304-9 (text/html)
Access to full text is restricted to subscribers.

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:kap:compec:v:41:y:2013:i:1:p:11-29

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-011-9304-9

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().