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Norwegian Overnight Interbank Interest Rates

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  • Q. Akram
  • Casper Christophersen

Abstract

This article addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement (RTGS) system of Norges Bank over the period October 2006–November 2010. We propose a new measure of overnight interest rates, NONIA, which may be calculated daily as a value-weighted average of overnight interest rates on individual loans. This may supplement information provided by indicative interest rates such as NIBOR. We also compute an indicator based on dispersion of interest rates across individual loans and the spread between NONIA and the key policy rate. The indicator may be useful for assessing whether overnight interest rates are close to Norges Bank’s key policy rate, consistent with its liquidity policy objective. Copyright Springer Science+Business Media, LLC. 2013

Suggested Citation

  • Q. Akram & Casper Christophersen, 2013. "Norwegian Overnight Interbank Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 11-29, January.
    • Handle: RePEc:kap:compec:v:41:y:2013:i:1:p:11-29
    DOI: 10.1007/s10614-011-9304-9
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    References listed on IDEAS

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    7. Charles A.E. Goodhart, 2009. "The Regulatory Response to the Financial Crisis," Books, Edward Elgar Publishing, number 13514.
    8. Q. Farooq Akram & Casper Christophersen, 2010. "Interbank overnight interest rates - gains from systemic importance," Working Paper 2010/11, Norges Bank.
    9. Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
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    Citations

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    Cited by:

    1. Akram, Q. Farooq & Findreng, Jon H., 2021. "Norwegian interbank market's response to changes in liquidity policy," Journal of Banking & Finance, Elsevier, vol. 125(C).
    2. Q. Farooq Akram & Casper Christophersen, 2013. "Inferring interbank loans and interest rates from interbank payments - an evaluation," Working Paper 2013/26, Norges Bank.
    3. International Monetary Fund, 2015. "Norway: Financial Sector Assessment Program-Technical Note- Macroprudential Policy," IMF Staff Country Reports 2015/257, International Monetary Fund.
    4. Q. Farooq Akram & Casper Christophersen, 2017. "Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(2), pages 165-204, April.
    5. International Monetary Fund, 2015. "Norway: Financial Sector Assessment Program-Technical Note-Linkages and Interconnectedness in the Norwegian Financial System," IMF Staff Country Reports 2015/256, International Monetary Fund.
    6. Arvid Raknerud & Bjørn Helge Vatne, 2013. "The relations between bank-funding costs, retail rates, and loan volumes. Evidence form Norwegian microdata," Discussion Papers 742, Statistics Norway, Research Department.
    7. Müller, Alexander & Paulick, Jan, 2020. ""The devil is in the details, but so is salvation": Different approachesin money market measurement," Discussion Papers 66/2020, Deutsche Bundesbank.
    8. Arvid Raknerud & Bjørn Helge Vatne, 2012. "The relation between banks' funding costs, retail rates and loan volumes: An analysis of Norwegian bank micro data," Working Paper 2012/17, Norges Bank.
    9. Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011. "How do banks' funding costs affect interest margins?," Discussion Papers 665, Statistics Norway, Research Department.

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    More about this item

    Keywords

    Interbank money market; Interest rates; RTGS; G21; E42; E43; E58;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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