Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153459
Authors: 
Eisenschmidt, Jens
Tapking, Jens
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1025
Abstract: 
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity risk of lenders in unsecured term money markets.
Subjects: 
2007/2008 financial market turmoil
interbank money markets
Liquidity premium
unsecured lending
JEL: 
G01
G10
G21
Document Type: 
Working Paper

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