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

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12 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)198-200
Number of pages3
JournalEconomics Letters
Volume107
DOIs
Publication statusPublished - 2010

Keywords

  • liquidity

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