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The Liquidity and Liquidity Distribution Effects in Emerging Markets : The Case of Jordan / Jerome Vandenbussche, Stanley Watt, Szabolcs Blazsek.
- Format:
- Book
- Government document
- Author/Creator:
- Vandenbussche, Jérôme.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/228
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Interbank market--Econometric models.
- Interbank market--Jordan.
- Liquidity (Economics)--Jordan.
- Local Subjects:
- Interbank market--Econometric models.
- Interbank market--Jordan.
- Liquidity (Economics)--Jordan.
- Physical Description:
- 1 online resource (46 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- Summary:
- This paper analyzes the determinants of daily changes in Jordan's interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex function of the level of excess reserves. It finds that the volatility of rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of excess reserves. As Carpenter and Demiralp (2006), it uses the series of the central bank's daily forecast errors to identify the liquidity effect.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Literature review; III. The Monetary Framework and the Overnight Interbank Market in Jordan; 1. Deposits on the Overnight Window as a Ratio of Required Reserves on the Last Day of the Maintenance Period; 2. Ratio of Excess to Required Reserves and the Interbank Rate; 3. Ratio of Interbank Trading Volume to Required Reserves and the Interbank Spread to Overnight Window Rate; 4. Window Deposit, Interbank, and Repo Rates; 1. Summary Statistics; 5. Interbank Window Rate Spread and Supplier Herfindahl Index
- 6. Interbank Window Rate Spread and Demander Herfindahl Index7. Interbank Spread (Over Overnight Deposit Rate) by Maintenance Day; 8. Evening Ratio of Window Deposits to Required Reserves by Maintenance Day; 9. Ratio of Cumulative Excess Reserves (Net of Window Deposits) to Cumulative Required Reserves by Maintenance Day; IV. Measuring the Liquidity Effect and the Liquidity Distribution Effects; 2. Baseline Specification; 3. Extended Specification (by Day of the Maintenance Period); V. Conclusion; Footnotes
- Notes:
- Description based upon print version of record.
- Description based on publisher supplied metadata and other sources.
- ISBN:
- 9786613829702
- 9781462363834
- 1462363830
- 9781452712727
- 1452712727
- 9781283517256
- 1283517256
- 9781451917932
- 1451917937
- OCLC:
- 870245491
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