Olav Syrstad

The Daily Liquidity Effect in a Floor System

Empirical Evidence from the Norwegian Market

• Broschiertes Buch

Produktbeschreibung

This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. In a floor system the key policy rate is equal to banks deposit rate in the central bank, and as such, this analysis provides new information on the liquidity effect in a floor system. Both excess liquidity (total central bank reserves in the banking system) and structural liquidity (central bank reserves in the system before Norges Banks market operations) have, as expected, a negative a significant effect on almost all dependent variables. Furthermore, in periods of financial turmoil European and Norwegian banks may face higher USD rates in the interbank market either because of a general USD liquidity premium or an institution specific credit premium. My analysis provides additional insight in the division between the liquidity premium and the credit premium in a way, to my knowledge, not done in earlier literature. The results indicate that during the financial crisis (2007-2009) the liquidity premium dominated in USD as the availability of credit deteriorated.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 56
• Erscheinungstermin: 24. Mai 2013
• Englisch
• Abmessung: 220mm x 150mm x 4mm
• Gewicht: 102g
• ISBN-13: 9783659398865
• ISBN-10: 3659398861
• Artikelnr.: 38479554

Autorenporträt

Olav Syrstad is part of the analysis group in the Department for Market Operations and Analysis. He has worked for the Norwegian central bank since 2008. He received a M.Sc. in financial economics from the Norwegian School of Economics and Business Administration and a M.Sc. in economics from the University of Oslo.