Liquidity Effects and the Determinants of Short-term Interest Rates in Italy (1991-92)
The paper uses Italian daily data from January 1991 to July 1992 (a period in which the lira belonged to the narrow EMS band without foreign exchange controls) to measure the relationship between liquidity and interest rates. The high quality of the data allows us to separate that part of interest rate variability due to foreign exchange factors (i.e. interest rate linkages in the EMS) from that attributable to other (`domestic') factors. We compare and evaluate alternative indicators of daily liquidity in a system of monthly average computation of reserve requirements. We find clear evidence of the existence of liquidity effects on interest rates and, in contrast to the pre-1990 period, find that foreign exchange factors have had a dominant influence, directly or through their effect on domestic liquidity, on interest rate variability.
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.
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.
|Date of creation:||May 1993|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:788. 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: ()
If references are entirely missing, you can add them using this form.