By analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.

Monticini, A., Baglioni, A. S., The intraday interest rate under a liquidity crisis: the case of August 2007, <<ECONOMICS LETTERS>>, 2010; 107 (N/A): 198-200. [doi:10.1016/j.econlet.2010.01.023] [http://hdl.handle.net/10807/1898]

The intraday interest rate under a liquidity crisis: the case of August 2007

Monticini, Andrea;Baglioni, Angelo Stefano
2010

Abstract

By analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.
2010
Inglese
Monticini, A., Baglioni, A. S., The intraday interest rate under a liquidity crisis: the case of August 2007, <<ECONOMICS LETTERS>>, 2010; 107 (N/A): 198-200. [doi:10.1016/j.econlet.2010.01.023] [http://hdl.handle.net/10807/1898]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/1898
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