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Methods of Evaluating the Liquidity Level for the Banking Sector

Author

Listed:
  • Gambarov, Georgy

    (Central Bank of Russian Federation)

  • Rumyantsev, Evgeny

    (Moscow Institute of Physics and Technologies)

Abstract

The purpose of this paper is to develop methods of evaluating the liquidity level for the banking sector by using a new indicator called structural liquidity. The paper carries out in detail mathematical conclusions about influence of CBR refinancing policy on the loro account and, as a consequence, on the structural liquidity. A model of determination of CBR changes in the money level supply necessary to reach the target interest rate of the Federal fund market is also proposed. The model includes the Kalman filter and offers target policy asymptotic estimates

Suggested Citation

  • Gambarov, Georgy & Rumyantsev, Evgeny, 2009. "Methods of Evaluating the Liquidity Level for the Banking Sector," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 16-33.
  • Handle: RePEc:ris:apltrx:0039
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    More about this item

    Keywords

    Refinancing; structural liquidity; loro account; Kalman filter; interbank market; target policy;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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