Vandenbussche, Jerome
[Verfasser:in]
;
Blazsek, Szabolcs
[Sonstige Person, Familie und Körperschaft];
Watt, Stanley
[Sonstige Person, Familie und Körperschaft]
The Liquidity and Liquidity Distribution Effects in Emerging Markets
Erschienen in:IMF Working Papers, Vol. , pp. 1-25, 2009
Umfang:
1 Online-Ressource (26 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1493545
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2009 erstellt
Beschreibung:
This paper analyzes the determinants of daily changes in Jordan's interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex function of the level of excess reserves. It finds that the volatility of rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of excess reserves. As Carpenter and Demiralp (2006), it uses the series of the central bank's daily forecast errors to identify the liquidity effect