Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210217 
Year of Publication: 
2011
Series/Report no.: 
Staff Memo No. 01/2011
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement (RTGS) system of Norges Bank over the period October 2006 - November 2010. We propose a new measure of overnight interest rates, NONIA, which may be calculated daily as a value-weighted average of overnight interest rates on individual loans. This may supplement information provided by indicative interest rates such as NIBOR. We also calculate an indicator based on dispersion of interest rates across individual loans and the spread between NONIA and the Norges Bank's overnight deposit rate. This indicator may be useful for assessing whether overnight interest rates are close to the central bank key policy rate.
Subjects: 
RTGS
interbank money market
interest rates
JEL: 
G21
E42
E43
E58
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-589-2
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Research Report
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