 The short-term Danish interbank market before, during and after the financial crisisKim Abildgren, Nicolaj Albrechtsen, Mark Strøm Kristoffersen, Søren Truels Nielsen and Rasmus Tommerup Journal of Financial Market Infrastructures Abstract: Denmark ;was the first country to move its key monetary policy interest rate into negative territory, in early July 2012. This paper studies the microstructure of the short-term uncollateralized Danish interbank market before, during and after the financial crisis, and into an era of negative interest rates. The 2008 financial ;crisis was followed by a downturn ;in trading activity, which may reflect increased awareness of counterparty credit risk at this time, or a reduction ;in the number of banks due to mergers/acquisitions and bank failures. A further reduction in trading activity followed in mid-2012, with a large increase in the current account liquidity maintained by monetary policy counterparties ;when interest rates became negative. In recent years, trading activity has concentrated on relatively ;few participants, mainly the so-called systemically important financial institutions. Our analysis is based on data from money market transactions between Danmarks Nationalbank’s monetary policy counterparties, estimated from payment flows through Danmarks Nationalbank’s real-time gross settlement system for the period 2003–15. Our data has been carefully validated against other data sources. References: Add references at CitEc Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ7:5940621 Access Statistics for this article More articles in Journal of Financial Market Infrastructures from Journal of Financial Market Infrastructures |
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