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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

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File URL: http://hdl.handle.net/10.1007/s10614-011-9304-9
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 41 (2013)
Issue (Month): 1 (January)
Pages: 11-29

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Handle: RePEc:kap:compec:v:41:y:2013:i:1:p:11-29

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Interbank money market; Interest rates; RTGS; G21; E42; E43; E58;

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  1. Bech, Morten L. & Atalay, Enghin, 2008. "The topology of the federal funds market," Working Paper Series 0986, European Central Bank.
  2. Niall Coffey & Warren B. Hrung & Asani Sarkar, 2009. "Capital constraints, counterparty risk, and deviations from covered interest rate parity," Staff Reports 393, Federal Reserve Bank of New York.
  3. Furfine, Craig H, 2001. "Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market," The Journal of Business, University of Chicago Press, vol. 74(1), pages 33-57, January.
  4. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2009. "Does the law of one price hold in international financial markets? Evidence from tick data," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1741-1754, October.
  5. Rochet, Jean-Charles & Tirole, Jean, 1996. "Interbank Lending and Systemic Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 733-62, November.
  6. AfDB AfDB, . "AfDB Group Annual Report 2008," Annual Report, African Development Bank, number 64 edited by Koua Louis Kouakou, 7.
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