Interbank Market Structure and Accurate Estimation of an Aggregate Liquidity Shock
AbstractIt's customary among money market analysts to blame interest rate deviations from the Bank of Russia's target band on the market structure imperfections or segmentation. We isolate one form of such market imperfection and provide an illustration of its potential impact on central bank's open market operations efficiency in the current monetary policy framework. We then hypothesize that naive (market) structure-agnostic liquidity gap aggregation will lead to market demand underestimation in some conditions and provide an empirical backing for it.
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Bibliographic InfoArticle provided by New Economic Association in its journal Journal of the New Economic Association.
Volume (Year): 19 (2013)
Issue (Month): 3 ()
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money market; monetary policy; market segmentation; open market operations;
Find related papers by JEL classification:
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- G19 - Financial Economics - - General Financial Markets - - - Other
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