The short-term Danish interbank market before, during and after the financial crisis

Abstract

Det korte danske pengemarked før, under og efter finanskrisen I papiret foretages en analyse af strukturen på det danske usikrede dag til dag-pengemarked før, under og efter finanskrisen. Handelsaktiviteten faldt i kølvandet på finanskrisen i 2008, hvilket kan afspejle øget opmaerksomhed på kreditrisiko og en reduktion i antallet af kreditinstitutter som følge af fusioner og banklukninger. Handelsaktiviteten blev yderligere reduceret efter den store forøgelse af de pengepolitiske modparters rammer for indestående på foliokonti i Nationalbanken i forbindelse med introduktionen af negative renter. I de seneste par år er handelsaktiviteten blevet koncentreret omkring relativt få markedsdeltagere, hovedsageligt de systemiske institutter. Analysen er baseret på data for pengemarkedstransaktioner mellem Nationalbankens pengepolitiske modparter, som er estimeret på basis af betalinger i Nationalbankens betalingssystem, Kronos for perioden 2003-2015.

Outcomes for Implemented Macroeconomic Policy Responses and Multilateral Collaboration Strategies for Economic Recovery After a Crisis: A Rapid Scoping Review

“…Abildgren et al 18 investigated the impact of significant events—for example, the European sovereign debt crisis, the 2008 financial crisis, and negative interest rates—on Denmark’s uncollateralized interbank market. The primary response was the central bank's decision to move its interest rate to below zero.…”

On the Negatives of Negative Interest Rates and the Positives of Exemption Thresholds

“…The DN bases its calculation of the exemption threshold on banks' activity in the payment system. Reserves exceeding the threshold are automatically converted into negatively remunerated certificates of deposits with a one-week tenor (Abildgren et al (2015) inflation. Also the BOJ introduced NIR to increase inflation and economic activity together with quantitative easing measures (Bank of Japan (2016)).…”

Stressed Interbank Markets: Evidence from the European Financial and Sovereign Debt Crisis

“…Other studies already document this methodological constraint (see. Abildgren et al 2015). We prefer to ignore zero-rate transactions rather than model their occurrence based on bilateral trade formation in overthe-counter markets (as in Rainone and Vacirca 2016).…”

“…See alsoAbildgren et al (2015) andRainone and Vacirca (2016) for an investigation of Furfine-type algorithms in zero and negative interest rate environments.ECB Working Paper 1925, June 2016…”