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The interbank market risk premium, central bank interventions, and measures of market liquidity
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
2014 (Engelska)Ingår i: Journal of International Money and Finance, ISSN 0261-5606, E-ISSN 1873-0639, Vol. 48, s. 202-217Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

When the interbank market risk premium soared during the financial crisis, it created a wedge between interest rates actually paid by private agents and the rapidly falling policy rates. Many central banks attempted to improve the situation by supplying liquidity to the domestic interbank market. This paper studies the Swedish interbank market risk premium using a unique data set on traded volume between banks and between banks and the Riksbank. We find that the main determinants of the Swedish interbank premium are international variables, such as US and EURO area risk premia. International exchange rate volatility and the EURO/USD deviations from CIP also matters, while standard measures of domestic market liquidity and domestic credit risk have insignificant effects. Nonlinear smooth transition (STR) models show that U.S. financial variables are more important in times of a rising U.S. risk premium. Our measure of actual turnover in the interbank market is associated with a significant reduction of the interbank market risk premium, as are credit provisions by the central bank.

Ort, förlag, år, upplaga, sidor
2014. Vol. 48, s. 202-217
Nyckelord [en]
Interbank market risk premium, Liquidity risk, Credit risk, Credit provisions
Nationell ämneskategori
Ekonomi och näringsliv
Identifikatorer
URN: urn:nbn:se:su:diva-110755DOI: 10.1016/j.jimonfin.2014.08.004ISI: 000344822700009OAI: oai:DiVA.org:su-110755DiVA, id: diva2:772925
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AuthorCount:3;

Tillgänglig från: 2014-12-17 Skapad: 2014-12-17 Senast uppdaterad: 2017-12-05Bibliografiskt granskad

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Alexius, Annika
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Nationalekonomiska institutionenStatistiska institutionen
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Journal of International Money and Finance
Ekonomi och näringsliv

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