The interbank market during a crisis
AbstractThe autumn of 1998 provides a setting in which to test the performance of the interbank market during a potential financial crisis. This period witnessed Russia's effective default on its sovereign bonds and the near collapse of the hedge fund Long-Term Capital Management. Despite these negative shocks to bank capital and increased uncertainty in financial markets more generally, the federal funds market still effectively channeled liquidity to those institutions in need at rates consistent with Federal Reserve intentions. Further, risk premiums on overnight lending were largely unaffected and lending volumes increased, suggesting that the federal funds market performed well during this period.
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 99.
Length: 19 pages
Date of creation: Jun 2001
Date of revision:
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- Jeannette Müller, 2006. "Interbank Credit Lines as a Channel of Contagion," Journal of Financial Services Research, Springer, vol. 29(1), pages 37-60, February.
- Alejandra Anastasi & Pedro Elosegui & Máximo Sangiácomo, 2010. "Call Money Interest Rate Determinants in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(57-58), pages 95-126, January -.
- Christian Pfister & Olivier de Bandt, 2003. "Politique monétaire, capital bancaire et liquidité des marchés," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 213-226.
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