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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…mehr

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.
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.