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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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    References listed on IDEAS

    as
    1. Peter Bernholz, 2003. "Monetary Regimes and Inflation," Books, Edward Elgar Publishing, number 2873.
    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. Dobrinsky, Rumen, 2000. "The Transition Crisis in Bulgaria," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 24(5), pages 581-602, September.
    4. 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.
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    Cited by:

    1. Ivan Todorov & Mariana Usheva & Stoyan Tanchev & Petar Yurukov, 2020. "Does a discretionary policy or an automatic adjustment mechanism determine monetary conditions in Bulgaria?," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 95-114.
    2. Peter Chobanov & Amine Lahiani & Nikolay Nenovsky, 2010. "Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States," William Davidson Institute Working Papers Series wp1002, William Davidson Institute at the University of Michigan.
    3. Yanko Hristozov, 2021. "Liquidity of Non-financial Corporations: Evidence from Bulgaria," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 389-406, September.

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    More about this item

    Keywords

    money market; currency board; Bulgaria;
    All these keywords.

    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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