Download or read book The Daily Liquidity Effect in a Floor System written by Olav Syrstad and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. In a floor system the key policy rate is equal to banks' deposit rate in the central bank, and as such, this analysis provides new information on the liquidity effect in a floor system. Both excess liquidity (total central bank reserves in the banking system) and structural liquidity (central bank reserves in the system before Norges Banks' market operations) have, as expected, a negative a significant effect on almost all dependent variables. Furthermore, in periods of financial turmoil European and Norwegian banks may face higher USD rates in the interbank market either because of a general USD liquidity premium or an institution specific credit premium. My analysis provides additional insight in the division between the liquidity premium and the credit premium in a way, to my knowledge, not done in earlier literature. The results indicate that during the financial crisis (2007-2009) the liquidity premium dominated in USD as the availability of credit deteriorated.
Download or read book The Daily Liquidity Effect in a Floor System written by Olav Syrstad and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. The models are estimated on data from January 2007 and up to the end of September 2011, a period in which Norges Bank implemented its liquidity policy within a so-called floor system, and prior to the new liquidity system introduced on 3 October 2011. In a floor system the key policy rate is equal to banks' deposit rate in the central bank, and as such, this analysis provides new information on the liquidity effect in a floor system. Both excess liquidity (total central bank reserves in the banking system) and structural liquidity (central bank reserves in the system before Norges Banks' market operations) have, as expected, a negative an significant effect on almost all dependent variables. Structural liquidity is the important factor driving the interbank premiums during periods characterized by low volatility, while excess liquidity gained importance during the financial crisis. This result is in line with what should be expected in a floor system. Furthermore, in periods of financial turmoil European and Norwegian banks may face higher USD rates in the interbank market either because of a general USD liquidity premium or an institution specific credit premium. My analysis provides additional insight in the division between the liquidity premium and the credit premium in a way, to my knowledge, not done in earlier literature. In line with the existing literature, the results indicate that during the financial turmoil and crisis (2007-2009), a USD liquidity premium dominated as credit conditions in USD deteriorated (USD shortage).
Download or read book Measuring the Liquidity Effect with Daily Data written by Garett Jones and published by . This book was released on 2000 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Liquidity and Liquidity Distribution Effects in Emerging Markets written by Jérôme Vandenbussche and published by International Monetary Fund. This book was released on 2009-10-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Daily Liquidity Effect written by Daniel L. Thornton and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Motivated, on the one hand, by the belief that the Fed controls the short-term rate through open market operations, and on the other, by "the lack of convincing proof that this is what happens," Hamilton (1997) suggested that more convincing evidence of the liquidity effect could be obtained with the use of high-frequency (daily) data. Thornton's (2001a) detailed analysis of Hamilton's results and evidence using both Hamilton's and an alternative methodology indicates a quantitatively unimportant daily liquidity effect. Recently, Carpenter and Demiralp (2006) report "clear evidence" of a daily liquidity effect using a more comprehensive reserve-supply-shock measure than that used by Hamilton. This paper investigates the daily liquidity effect using Carpenter and Demiralp's new measure"--Federal Reserve Bank of St. Louis web site.
Download or read book The Daily and Policy Relevant Liquidity Effects written by Daniel L. Thornton and published by . This book was released on 2010 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The phrase quot;liquidity effectquot; was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly data led Hamilton (1997) to suggest that more convincing evidence of this effect could be obtained using daily data - estimating the daily liquidity effect. This paper investigates the implications of the daily liquidity effect for Friedman's (policy-relevant) liquidity effect using a comprehensive model of the Fed's daily operating procedure. The evidence indicates that it is no easier to find convincing evidence of a policy-relevant liquidity effect using daily data than it has been using lower frequency data.
Download or read book Advancing the Frontiers of Monetary Policy written by Tobias Adrian and published by International Monetary Fund. This book was released on 2018-04-13 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation-forecast targeting is state of the art for monetary policy. This book explores first principles, including managing short-term policy trade-offs. The book also outlines efficient operational procedures and reviews the experiences of Canada, the Czech Republic, and India. The analysis highlights the need for assertive policies and maximum transparency.
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book Futures Trading Practices Act of 1991 S 207 written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and published by . This book was released on 1991 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary Policy Implementation written by Angelo Baglioni and published by Springer Nature. This book was released on with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evolving Monetary Policy Frameworks in Low Income and Other Developing Countries written by International Monetary Fund and published by International Monetary Fund. This book was released on 2015-10-23 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades, many low- and lower-middle income countries (LLMICs) have improved control over fiscal policy, liberalized and deepened financial markets, and stabilized inflation at moderate levels. Monetary policy frameworks that have helped achieve these ends are being challenged by continued financial development and increased exposure to global capital markets. Many policymakers aspire to move beyond the basics of stability to implement monetary policy frameworks that better anchor inflation and promote macroeconomic stability and growth. Many of these LLMICs are thus considering and implementing improvements to their monetary policy frameworks. The recent successes of some LLMICs and the experiences of emerging and advanced economies, both early in their policy modernization process and following the global financial crisis, are valuable in identifying desirable features of such frameworks. This paper draws on those lessons to provide guidance on key elements of effective monetary policy frameworks for LLMICs.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research Handbook of Financial Markets written by Refet S. Gürkaynak and published by Edward Elgar Publishing. This book was released on 2023-05-09 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.
Download or read book Monetary Policy Implementation Operational Issues for Countries with Evolving Monetary Policy Frameworks written by Nils Mæhle and published by International Monetary Fund. This book was released on 2020-02-07 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses operational issues for countries that want to reform their monetary policy frameworks. It argues that stabilizing short-term interest rates on a day-to-day basis has significant advantages, and thus that short-term interest rates, not reserve money, in most cases should be the daily operating target, including for countries relying on a money targeting policy strategy. The paper discusses how a policy formulation framework based on monetary aggregates can be combined with an operational framework that ensures more stable and predictable short-term rates to enhance policy transmission. It also discusses how to best configure an interest-rate-based operational framework when markets are underdeveloped and liqudity management capacity is weak.
Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Download or read book Risk and Liquidity written by Hyun Song Shin and published by OUP Oxford. This book was released on 2010-05-27 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
