The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan
Author/Editor: Jérôme Vandenbussche, Stanley Watt, Szabolcs Blazsek
Release Date: © October, 2009
ISBN: 978-1-45187-375-7
Stock #: WPIEA2009228
English
Stock Status: Available
Languages and formats available
| English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
| Paperback | Yes | ||||||
| Yes |
Description
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.
Keywords
Interbank Market, Liquidity Effect, Liquidity Distribution, Monetary Operations, Banking Systems, Excess Liquidity, Liquidity Management, Money Markets, Reserve Requirements
Taxonomy
Banks and banking,
Central banks,
Demand for money,
Economic policy,
Financial institutions and markets,
Monetary policy,
Money supply
More publications in this series: Working Papers
More publications by: Jérôme Vandenbussche ; ; ; ; Stanley Watt ; ; ; ; Szabolcs Blazsek
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