IDEAS home Printed from https://ideas.repec.org/a/nos/voprec/y2009id909.html
   My bibliography  Save this article

Short-term Interest Rates and the State of Liquidity in the Russian Money Market under Conditions of the Global Financial Crisis

Author

Listed:
  • E. Vasilieva
  • A. Ponomarenko
  • A. Porshakov

Abstract

During recent years the Russian money market has undergone substantial changes. The period of abundant liquidity was followed by temporary contraction in the end of 2007 and then by rapid deterioration of liquidity conditions in the second half of 2008. This paper provides the analysis of these developments, their causes and consequences. We then proceed by constructing a comprehensive model of the overnight rate on rubles on the Moscow interbank market (MIACR). We use martingale hypothesis to analyze the process of market interest rate determination and identify the liquidity effect. For this purpose we estimate the non-linear EGARCH model and calculate the contribution of different categories of explanatory variables to the interest rates dynamics and volatility. We find that, although volatile, the deviation of interbank overnight rate from BoRs policy rates can largely be explained by liquidity shocks. At the same we find the empirical confirmation of importance of exchange rate and foreign interest rates variables.

Suggested Citation

  • E. Vasilieva & A. Ponomarenko & A. Porshakov, 2009. "Short-term Interest Rates and the State of Liquidity in the Russian Money Market under Conditions of the Global Financial Crisis," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 8.
    • Handle: RePEc:nos:voprec:y:2009:id:909
    DOI: 10.32609/0042-8736-2009-8-66-85
    as

    Download full text from publisher

    File URL: https://www.vopreco.ru/jour/article/viewFile/909/910
    Download Restriction: no
    File URL: https://libkey.io/10.32609/0042-8736-2009-8-66-85?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nos:voprec:y:2009:id:909. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: NEICON (email available below). General contact details of provider: https://www.vopreco.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.