Methods of Evaluating the Liquidity Level for the Banking Sector

Georgy Gambarov and Evgeny Rumyantsev

Applied Econometrics, 2009, vol. 16, issue 4, 16-33

Abstract: The purpose of this paper is to develop methods of evaluating the liquidity level for the banking sector by using a new indicator called structural liquidity. The paper carries out in detail mathematical conclusions about influence of CBR refinancing policy on the loro account and, as a consequence, on the structural liquidity. A model of determination of CBR changes in the money level supply necessary to reach the target interest rate of the Federal fund market is also proposed. The model includes the Kalman filter and offers target policy asymptotic estimates

Keywords: Refinancing; structural liquidity; loro account; Kalman filter; interbank market; target policy (search for similar items in EconPapers)
JEL-codes: G18 (search for similar items in EconPapers)
Date: 2009
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