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Dynamics of the Inter-Bank Market in Bulgaria

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  • Nikolay Nenovsky
  • Petar Chobanov

Abstract

In the last years the effectiveness and the presence of automated mechanism of adjusting, the currency boards are in the center of many economic analyses. The current study will present an empirical analysis of the volume and interest rate on the non-covered one-day deposits of the Bulgarian inter-bank market. Developed are three empirical models in order to explain the behavior of the demand, supply and the interest rates. Studied are the influence of the requirements on the obligatory reserves of the trade banks; the operations connected with the state budget; the deals in reserve currency between the banks and BNB; and some season factors. The behavior of the interest rates and the volume of deposits are well ranged by the variables used. The coefficients, which describe the influence of these variables, are statistically significant and have the same direction as the described in the theoretical literature.

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Bibliographic Info

Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Studies.

Volume (Year): (2004)
Issue (Month): 3 ()
Pages: 32-52

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Handle: RePEc:bas:econst:y:2004:i:3:p:32-52

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  1. Hamilton, James D, 1997. "Measuring the Liquidity Effect," American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March.
  2. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
  3. Nenovsky, Nikolay & Hristov, Kalin, 2002. "The new currency boards and discretion: empirical evidence from Bulgaria," Economic Systems, Elsevier, vol. 26(1), pages 55-72, April.
  4. Furfine, Craig H, 2003. " Interbank Exposures: Quantifying the Risk of Contagion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(1), pages 111-28, February.
  5. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
  6. William Poole, 1968. "Commercial Bank Reserve Management In A Stochastic Model: Implications For Monetary Policy," Journal of Finance, American Finance Association, vol. 23(5), pages 769-791, December.
  7. Dobrinsky, Rumen, 2000. "The Transition Crisis in Bulgaria," Cambridge Journal of Economics, Oxford University Press, vol. 24(5), pages 581-602, September.
  8. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
  9. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002. "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers 3090, C.E.P.R. Discussion Papers.
  10. Berlemann, Michael & Nenovsky, Nikolay, 2003. "Lending of first versus lending of last resort: The Bulgarian financial crisis of 1996/1997," Dresden Discussion Paper Series in Economics 11/03, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
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