Norwegian Interbank Market's Response to Changes in Liquidity Policy

Akram, Q. Farooq; Findreng, Jon H.

doi:10.2139/ssrn.2955704

Cited by 2 publications

(5 citation statements)

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“…Interest rates below the key policy rate, which is norges bank's main overnight deposit rate, are not uncommon. Actually, Akram and Findreng (2017) find 96 percent of the overnight loans to be below the key policy rate since the change in norges bank's liquidity policy in october 2011. banks with liquidity in excess of their deposit quotas at norges bank face the option of depositing it at the so called 'reserve rate', which is one percentage point below the key policy rate, or lending it to other banks at an interest rate closer to the key policy rate. The latter banks may have unutilised deposit quotas at the central bank ensuring them a remuneration at the key policy rate; see e.g.…”

Section: Reported and Identified Loans And Interest Ratesmentioning

confidence: 99%

“…This reflects that banks generally wait until the afternoon before engaging in overnight lending and borrowing activity; see e.g. Armantier et al (2008) and Akram and Findreng (2017). The main reason for the delay is that nbo users do not become fully aware of their liquidity positions before the final The above analysis suggests the repayment restrictions (c) and (d) are crucial for the reliability of the furfine filter.…”

Section: Out-of-sample Evaluation Of the Furfine Filtermentioning

confidence: 99%

“…As Akram and Findreng (2017) we take into account that nbo operates with two decimals for nok payments as the smallest monetary unit is 'øre', equal to 1/100 of a nok. A repayment transaction (V t+1 ) can therefore potentially have a rounding error up to nok 0.005.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Identification of interbank loans and interest rates from interbank payments: a reliability assessment

Fevolden¹,

Smith²,

Akram³

2019

JFMI

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We investigate the reliability of the 'furfine filter' often used to identify interbank loans and interest rates from interbank payments settled at central banks. To this end, we have been granted access to records of all unsecured overnight interbank loans during a month from the banks that participated in norges bank's real-time gross settlement system. The filter applied was able to identify each of these loans and correctly derive the associated interest rates. The filter's reliability is also supported by additional evidence based on the norwegian overnight weighted average (nowa) interest rates beyond the survey month. Sensitivity analyses suggest the share of false or overlooked loans may remain small if the filter design largely incorporates interbank market conventions regarding loan size requests and interest rate quotes.

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Section: Reported and Identified Loans And Interest Ratesmentioning

confidence: 99%

Section: Out-of-sample Evaluation Of the Furfine Filtermentioning

confidence: 99%

See 1 more Smart Citation

Identification of interbank loans and interest rates from interbank payments: a reliability assessment

Fevolden¹,

Smith²,

Akram³

2019

JFMI

Self Cite

View full text Add to dashboard Cite

show abstract

Section: Out-of-sample Evaluation Of the Furfine Filtermentioning

confidence: 99%

“…AsAkram and Findreng (2017) we take into account that nbo operates with two decimals for nok payments as the smallest monetary unit is 'øre', equal to 1/100 of a nok. A repayment transaction (V t+1 ) can therefore potentially have a rounding error up to nok 0.005.…”

mentioning

confidence: 99%