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Money Market Liquidity under Currency Board – Empirical Investigations for Bulgaria

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  • Petar Chobanov

    ()

  • Nikolay Nenovsky

    ()

Abstract

Over the last years the efficiency and existence of an automatic adjustment mechanism of currency boards are in the centre of economic discussions. This study is intended to provide an empirical analysis of the volume and interest rate of unsecured overnight deposits at Bulgarian interbank market. Three empirical models are developed in order to explain the behaviour of demand, supply and interest rates. The impact of reserve requirements, operations connected with government budget, transactions in reserve currency (Euro) and some seasonal factors is discussed. The developments of interest rates and volumes are well captured by the employed variables and their statistically significant signs coincide with the theoretical literature.

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Bibliographic Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number 2004-693.

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Length: 26 pages
Date of creation: 01 May 2004
Date of revision:
Handle: RePEc:wdi:papers:2004-693

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Keywords: money market; currency board; Bulgaria;

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  1. Dobrinsky, Rumen, 2000. "The Transition Crisis in Bulgaria," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 24(5), pages 581-602, September.
  2. Nenovsky Nikolay & Hristov Kalin & Mihaylov Mihail, 2001. "Comparing Currency Board Automatic Mechanism in Bulgaria, Estonia and Lithuania," Journal des Economistes et des Etudes Humaines, De Gruyter, De Gruyter, vol. 11(4), pages 1-44, December.
  3. Nenovsky, Nikolay & Hristov, Kalin, 2002. "The new currency boards and discretion: empirical evidence from Bulgaria," Economic Systems, Elsevier, Elsevier, vol. 26(1), pages 55-72, April.
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