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Determinants of the Inter-Bank Interest Rate in Argentina

Author

Listed:
  • Alejandra Anastasi

    () (Central Bank of Argentina)

  • Pedro Elosegui

    (Central Bank of Argentina)

  • Máximo Sangiácomo

    () (Central Bank of Argentina)

Abstract

This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects, such as the linkages between entities and the degree of supply or demand concentration, also affect the cost of funding. The structure of the market and the repo rates established by the BCRA are also relevant. Finally, the interest rate reacts positively when banks have a higher demand for liquidity, due to both seasonality and episodes of reduction in deposits.

Suggested Citation

  • Alejandra Anastasi & Pedro Elosegui & Máximo Sangiácomo, 2009. "Determinants of the Inter-Bank Interest Rate in Argentina," BCRA Working Paper Series 200941, Central Bank of Argentina, Economic Research Department.
  • Handle: RePEc:bcr:wpaper:200941
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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/WP_41_2009e.pdf
    File Function: Spanish version (versión en Español)
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    More about this item

    Keywords

    Argentina; interest rate; monetary policy; short-term liquidity markets;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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