The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active banks increased sharply in August 2007 and risk premia have remained at an elevated level since. This feature aims to identify the drivers of this increase, in particular the role of credit and liquidity factors. While there is evidence of a role played by credit risk, at least at lower frequencies, the absence of a close relationship between the risk of default and risk premia in the money market, as well as the reaction of the interbank markets to central bank liquidity provisions, point to the importance of liquidity factors for banks' day-to-day quoting behaviour..
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2008) Issue (Month): (March) Pages: Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF