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Money Market Liquidity under Currency Board ??? Empirical Investigations for Bulgaria

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  • Petar Chobanov

    ()

  • Nikolay Nenovsky

    ()

Abstract

Over the last years the efficiency and existence of an automatic adjustment mechanism of currency boards are in the centre of economic discussions. This study is intended to provide an empirical analysis of the volume and interest rate of unsecured overnight deposits at Bulgarian interbank market. Three empirical models are developed in order to explain the behaviour of demand, supply and interest rates. The impact of reserve requirements, operations connected with government budget, transactions in reserve currency (Euro) and some seasonal factors is discussed. The developments of interest rates and volumes are well captured by the employed variables and their statistically significant signs coincide with the theoretical literature.

Suggested Citation

  • Petar Chobanov & Nikolay Nenovsky, 2004. "Money Market Liquidity under Currency Board ??? Empirical Investigations for Bulgaria," William Davidson Institute Working Papers Series 2004-693, William Davidson Institute at the University of Michigan.
  • Handle: RePEc:wdi:papers:2004-693
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    File URL: http://deepblue.lib.umich.edu/bitstream/2027.42/40079/3/wp693.pdf
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    References listed on IDEAS

    as
    1. Dobrinsky, Rumen, 2000. "The Transition Crisis in Bulgaria," Cambridge Journal of Economics, Oxford University Press, vol. 24(5), pages 581-602, September.
    2. Nenovsky Nikolay & Hristov Kalin & Mihaylov Mihail, 2001. "Comparing Currency Board Automatic Mechanism in Bulgaria, Estonia and Lithuania," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 11(4), pages 1-44, December.
    3. Nenovsky, Nikolay & Hristov, Kalin, 2002. "The new currency boards and discretion: empirical evidence from Bulgaria," Economic Systems, Elsevier, vol. 26(1), pages 55-72, April.
    4. K. Hristov & Nikolay Nenovsky, 2002. "New Currency Boards and Discretion. The empirical Evidence from Bulgaria," Post-Print halshs-00259875, HAL.
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    Cited by:

    1. Petar Chobanov & Amine LAHIANI & Nikolay NENOVSKY, 2010. "Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States," LEO Working Papers / DR LEO 1253, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

    More about this item

    Keywords

    money market; currency board; Bulgaria;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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