- Autor
- Jurgilas Marius (University of Connecticut, Storrs, USA)
- Tytuł
- Interbank Market under the Currency Board: case of Lithuania
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 1, s. 203-218, rys., tab., bibliogr. s. 217-218
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Stopa procentowa, Rynek międzybankowy, Izba walutowa
Interest rate, Interbank market, Currency board - Kraj/Region
- Litwa
Lithuania - Abstrakt
- Chapter 14 is devoted to interest rate modeling and studies the liquidity effect under a currency board in Lithuania. It is found that overnight interest rates tend to be higher at the beginning and lower at the end of the reserve holding period. The findings contrast the empirical findings in the literature. Banks tend to accumulate required reserves early in the period being reluctant to minimize excess reserves at the end of reserve holding period. This result can mainly be attributed to a currency board arrangement and only partially to the developing nature of the Lithuanian interbank market. It is argued that falling variability of the overnight interest rates is not a good signal for increased financial stability. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Ewerhart C, Cassola N., Ejerskov S., Valla N. (2004), "Liquidity, Information, and the Overnight Rate", European Central Bank Working Paper.
- Garbaravicius T. (2004), "Impact of Treasury Transfers on the Lithuanian Money Market", Pinigu Studijos, 5-33.
- Gaspar V., Quiroz P., Mendizabal H. (2004), "Interest Rate Determination in the Interbank Market", European Central Bank Working Paper.
- Hamilton J. D. (1996), "Measuring the Liquidity Effect", San Diego: University of California at San Diego, Economics Working Paper Series, Department of Economics.
- Hamilton J. D. (1997), "Measuring the Liquidity Effect", American Economic Review, 87(1), 80-97.
- Hayashi F. (2001), "Identifying a Liquidity Effect in the Japanese Interbank Market", International Economic Review, 42(2).
- Malmsten H. (2004), "Evaluating Exponential GARCH Models", SSE/EFI Working Paper Series in Economics and Finance.
- Moschitz J. (2004), 'The Determinants of the Overnight Interest Rate in the Euro Area", European Central Bank Working Paper.
- Nelson D. (1991), "Conditional Heleroskedasticity in Asset Returns: A New Approach", Econometrica, 59, 347-370.
- Prati A., Barlolini L., Bertola G. (2003), "The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone", Journal of Banking and Finance, 27, 2045-2083.
- Siaudinis S. (2003), "Effectiveness of Modern Currency Board Operational Frameworks: Discussion Continued", Pinigu Studijos, 5-22.
- Vellov I. (2004), "Monetary Transmission Mechanism in Lithuania", in: Mayes D. G. (ed.), The Monetary Transmission Mechanism in Baltic States, Tallin: Bank of Estonia, 61-107.
- Cytowane przez
- Język
- eng
