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.
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