Norwegian Overnight Interbank Interest Rates
| Autor: | Q. Farooq Akram, Casper Christophersen |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Financial economics
Overnight rate media_common.quotation_subject Economics Econometrics and Finance (miscellaneous) Monetary economics Computer Science Applications Interest rate Market liquidity Shanghai Interbank Offered Rate Overnight market Settlement (finance) Economics Statistical dispersion Interbank lending market media_common |
| Zdroj: | Computational Economics. 41:11-29 |
| ISSN: | 1572-9974 0927-7099 |
| DOI: | 10.1007/s10614-011-9304-9 |
| Popis: | This article addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement (RTGS) system of Norges Bank over the period October 2006---November 2010. We propose a new measure of overnight interest rates, NONIA, which may be calculated daily as a value-weighted average of overnight interest rates on individual loans. This may supplement information provided by indicative interest rates such as NIBOR. We also compute an indicator based on dispersion of interest rates across individual loans and the spread between NONIA and the key policy rate. The indicator may be useful for assessing whether overnight interest rates are close to Norges Bank's key policy rate, consistent with its liquidity policy objective. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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