Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Interbank Money Market in Hungary

Contents:

Author Info

  • Áron Gereben

    ()
    (Magyar Nemzeti Bank)

Abstract

Between September 1998 and Spring 1999 the liquidity of the Hungarian inter-bank money market and the corresponding interest rates for overnight funds showed significantly larger fluctuations relative to the previous periods. This study aims to analyse the causes behind the imbalances experienced during this period, and also to draw some lessons for monetary policy and operations. Fluctuations in overnight interest rates are largely irrelevant for monetary policy unless they spill over to longer maturities as well. This usually does not happen, however, as our econometric results show, in the period considered fluctuations in liquidity had a considerable impact on the 3-month inter-bank interest rate. The hectic fluctuations in liquidity were partly due to the Russian crisis and to the changes implemented in the MNB's set of monetary instruments. However, deficiencies in the commercial banks' liquidity management also contributed to the market turbulence. The analysis of market data revealed several occasions where market players behaved irrationally, and such behaviour resulted in long-lasting periods of disequilibrium on the money market. Reducing the maturity of the MNB's key policy instrument from one month to two weeks alleviated the fluctuations in liquidity; however, it could not resolve the problems arising from the inherent inefficiency of the inter-bank money market.

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://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_muhelytanulmanyok/mnben_op1999_20/op_7.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Magyar Nemzeti Bank (the central bank of Hungary) in its series MNB Occasional Papers with number 1999/7.

as in new window
Length: 53 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:mnb:opaper:1999/7

Contact details of provider:
Web page: http://www.mnb.hu/
More information through EDIRC

Related research

Keywords: monetary instruments; operational framework; averaging; overnight interest rates.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

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:mnb:opaper:1999/7. 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: (Maja Bajcsy).

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.