The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies
AbstractThe liquidity problems that appeared on the interbank money markets during the financial crisis caused an increased volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided the mutual funding, which resulted in a reduction of the interbank interest rates due to the excess liquidity on the interbank money markets. In these conditions we want to analyze the behavior of interbank interest rates for several CEE transition countries, responding to the following question: will they return to the long run equilibrium or will they follow a random walk? In our research we deal with unit root tests taking into consideration structural breaks and the persistence of the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank money markets from Euro zone, Bulgaria, Czech Republic, Hungary, Poland and Romania and propose some volatility transmission models.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42102.
Date of creation: 15 Dec 2011
Date of revision:
interbank interest rates; volatility; cointegration; structural breaks; persistence;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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