Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209956
Authors: 
Akram, Q. Farooq
Christophersen, Casper
Year of Publication: 
2010
Series/Report no.: 
Working Paper No. 2010/11
Abstract: 
We study overnight interbank interest rates paid by banks in Norway over the period 2006-2009. We observe large variations in interest rates across banks and over time. During the financial crisis, the interest rates are found to be substantially below indicative quotes of interest rates provided by major banks. Our econometric model attributes the interest rate variation partly to differences in banks' characteristics including relative size and connectedness, implying favorable terms for banks of systemic importance. Moreover, interest rates are found to depend not only on overall liquidity in the interbank market, but possibly on its distribution among banks as well, suggesting exploitation of market power by banks with surplus liquidity. There is also evidence of stronger effects on interest rates of systemic importance, credit ratings and liquidity demand and supply since the start of the current financial crisis.
Subjects: 
interbank money market
interest rates
systemic importance
JEL: 
G21
E42
E43
E58
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-562-5
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.