Interbank Market Structure and Accurate Estimation of an Aggregate Liquidity Shock

A. Isakov
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A. Isakov: NRU HSE, Moscow, Russia

Journal of the New Economic Association, 2013, vol. 19, issue 3, 52-64

Abstract: It's customary among money market analysts to blame interest rate deviations from the Bank of Russia's target band on the market structure imperfections or segmentation. We isolate one form of such market imperfection and provide an illustration of its potential impact on central bank's open market operations efficiency in the current monetary policy framework. We then hypothesize that naive (market) structure-agnostic liquidity gap aggregation will lead to market demand underestimation in some conditions and provide an empirical backing for it.

Keywords: money market; monetary policy; market segmentation; open market operations (search for similar items in EconPapers)
JEL-codes: C81 C82 C87 G19 (search for similar items in EconPapers)
Date: 2013
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