IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan

  • Jér�me Vandenbussche
  • Szabolcs Blazsek
  • Stanley Watt

This article uses data from Jordan to show the importance of accounting for the level of Effective Excess Reserves (EER) when analysing the overnight interbank rate in emerging markets. Our econometric model quantifies the classic liquidity effect, uncovers a liquidity distribution effect on both sides of the market and shows that the magnitude of the three effects is a decreasing and convex function of the level of EER. The results provide evidence that the volatility of daily rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of EER. The series of the central bank's daily forecast errors is used to identify the liquidity effect.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1080/09603107.2011.610740
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 22 (2012)
Issue (Month): 3 (February)
Pages: 231-242

as
in new window

Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:231-242
Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:231-242. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.