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The intraday interest rate under a liquidity crisis: The case of August 2007

Listed author(s):
  • Baglioni, Angelo
  • Monticini, Andrea

By analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00024-8
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 2 (May)
Pages: 198-200

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:198-200
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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