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

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  • Baglioni, Angelo
  • Monticini, Andrea

Abstract

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.

Suggested Citation

  • Baglioni, Angelo & Monticini, Andrea, 2010. "The intraday interest rate under a liquidity crisis: The case of August 2007," Economics Letters, Elsevier, vol. 107(2), pages 198-200, May.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:198-200
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    More about this item

    Keywords

    Intraday interest rate Liquidity crisis Money market;

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance

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