Advanced Search
MyIDEAS: Login to save this article or follow this journal

Interbank Market Structure and Accurate Estimation of an Aggregate Liquidity Shock

Contents:

Author Info

  • Isakov, A.

    (NRU HSE, Moscow, Russia
    Bank of Russia, Moscow, Russia)

Registered author(s):

    Abstract

    It'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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.econorus.org/repec/journl/2013-19-52-64r.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by New Economic Association in its journal Journal of the New Economic Association.

    Volume (Year): 19 (2013)
    Issue (Month): 3 ()
    Pages: 52-64

    as in new window
    Handle: RePEc:nea:journl:y:2013:i:19:p:52-64

    Contact details of provider:
    Postal: Nakhimovsky prospekt, 32, Office 1115, 117218 Moscow Russia
    Phone: +7 495 7189855
    Fax: +7 495 7189855
    Email:
    Web page: http://www.econorus.org/english.phtml
    More information through EDIRC

    Related research

    Keywords: money market; monetary policy; market segmentation; open market operations;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. 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.
    2. Wong, Jian Cheng & Lian, Heng & Cheong, Siew Ann, 2009. "Detecting macroeconomic phases in the Dow Jones Industrial Average time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4635-4645.
    3. Bryant, John, 1980. "A model of reserves, bank runs, and deposit insurance," Journal of Banking & Finance, Elsevier, vol. 4(4), pages 335-344, December.
    4. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
    5. Castiglionesi, F. & Navarro, N., 2007. "Optimal Fragile Financial Networks," Discussion Paper 2007-100, Tilburg University, Center for Economic Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:nea:journl:y:2013:i:19:p:52-64. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexey Tcharykov).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.