Arbeitspapier

Pricing in the Norwegian Interbank Market - the Effects of Liquidity and Implicit Government Support

We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over the period 2006-2009, which includes the sharp fall in interbank trading during the financial crisis. Our findings suggest relatively lower funding costs for banks of systemic importance, particularly for banks with many and valuable linkages to other banks. Moreover, interest rates are found to depend not only on overall liquidity in the interbank market, but on its distribution among banks as well. There is also evidence of stronger effects on interest rates of systemic importance, creditworthiness and liquidity demand and supply factors during the financial crisis.

ISBN
978-82-7553-891-6
Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2/2016

Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
Thema
interbank money market
interest rates
systemic importance

Ereignis
Geistige Schöpfung
(wer)
Akram, Q. Farooq
Christophersen, Casper
Ereignis
Veröffentlichung
(wer)
Norges Bank
(wo)
Oslo
(wann)
2016

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Akram, Q. Farooq
  • Christophersen, Casper
  • Norges Bank

Entstanden

  • 2016

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