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Liquidity risk premia in unsecured interbank money markets

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Author Info
Jens Eisenschmidt () (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
Jens Tapking () (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)

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Abstract

Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity risk of lenders in unsecured term money markets. JEL Classification: G01, G10, G21.

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File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1025.pdf
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Paper provided by European Central Bank in its series Working Paper Series with number 1025.

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Length: 42 pages
Date of creation: Mar 2009
Date of revision:
Handle: RePEc:ecb:ecbwps:20091025

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Related research
Keywords: Liquidity premium; interbank money markets; unsecured lending; 2007/2008 financial market turmoil.;

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References listed on IDEAS
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  1. Bengt Holmstrom & Jean Tirole, 1998. "Private and Public Supply of Liquidity," Journal of Political Economy, University of Chicago Press, vol. 106(1), pages 1-40, February. [Downloadable!] (restricted)
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  2. John B. Taylor & John C. Williams, 2008. "A Black Swan in the Money Market," NBER Working Papers 13943, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Carlsson, Hans & van Damme, Eric, 1993. "Global Games and Equilibrium Selection," Econometrica, Econometric Society, vol. 61(5), pages 989-1018, September. [Downloadable!] (restricted)
    Other versions:
  4. Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 401-19, June. [Downloadable!] (restricted)
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  5. Acharya, Viral V & Viswanathan, S, 2008. "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers 6630, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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This page was last updated on 2009-11-20.

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