Liquidity risk premia in unsecured interbank money markets

Jens Tapking and Jens Eisenschmidt

No 1025, Working Paper Series from European Central Bank

Abstract: Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity risk of lenders in unsecured term money markets. JEL Classification: G01, G10, G21

Keywords: 2007/2008 financial market turmoil; interbank money markets; liquidity premium; unsecured lending (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-eec, nep-fmk, nep-mac and nep-mon
Note: 428113
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (73)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091025

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