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

Andrea Monticini; Angelo Stefano Baglioni

doi:10.1016/j.econlet.2010.01.023

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

Andrea Monticini, Angelo Stefano Baglioni

Risultato della ricerca: Contributo in rivista › Articolo in rivista › peer review

12 Citazioni (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.

Lingua originale	English
pagine (da-a)	198-200
Numero di pagine	3
Rivista	Economics Letters
Volume	107
DOI	https://doi.org/10.1016/j.econlet.2010.01.023
Stato di pubblicazione	Pubblicato - 2010

Keywords

liquidity

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10.1016/j.econlet.2010.01.023

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title = "The intraday interest rate under a liquidity crisis: the case of August 2007",

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.",

keywords = "liquidity, liquidity",

author = "Andrea Monticini and Baglioni, {Angelo Stefano}",

year = "2010",

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language = "English",

volume = "107",

pages = "198--200",

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T1 - The intraday interest rate under a liquidity crisis: the case of August 2007

AU - Monticini, Andrea

AU - Baglioni, Angelo Stefano

PY - 2010

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N2 - 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.

AB - 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.

KW - liquidity

UR - http://hdl.handle.net/10807/1898

U2 - 10.1016/j.econlet.2010.01.023

DO - 10.1016/j.econlet.2010.01.023

M3 - Article

SN - 0165-1765

VL - 107

SP - 198

EP - 200

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

Keywords

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