The intraday interest rate under a liquidity crisis: The case of August 2007

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 107
Issue: 2
Pages: 198-200

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

By analyzing high frequency data for the European interbank market, we show that the implicit intraday interest rate jumped by ten times at the outset of the 2007 financial crisis, due to an increase of the liquidity premium and of the cost of collateral.

Technical Details

RePEc Handle
repec:eee:ecolet:v:107:y:2010:i:2:p:198-200
Journal Field
General
Author Count
2
Added to Database
2026-01-24