Overnight market interest rates and banks' demand for reserves in Finland:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Helsinki
1992
|
| Schriftenreihe: | Suomen Pankki <Helsinki>: Julkaisuja / B
47 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Helsinki, Univ., Diss., 1992 |
| Beschreibung: | 145 S. graph. Darst. |
| ISBN: | 9516863248 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804119795267796992 |
|---|---|
| adam_text | Contents
Page
Acknowledgements 5
1 Introduction 9
2 An Overview of the Theory of Banks Demand
for Reserves 16
2.1 The market for reserves 16
2.1.1 Determination of the short term interest rate 16
2.1.2 The overnight market interest rate,
the call money facility and monetary policy 20
2.2 Studies on the borrowing function 23
2.3 Liquidity management theory 27
2.4 The theoretical framework of the study 30
3 The Market for Overnight Funds and the Call Money
Facility in Finland 33
3.1 Evolution and current structure of the call money
facility 33
3.1.1 Historical background 33
3.1.2 The structure of the call money facility 37
3.2 The overnight market: some stylized facts 39
4 A Stochastic Asset Allocation Model of the Overnight Market 43
4.1 The basic model 45
4.2 Effects of risk aversion 52
4.3 Quantitative quotas on borrowing 56
4.4 Time dependent costs of borrowing 59
5 Endogenous Variance: Effects of Liquidity Control 63
5.1 Introduction 63
5.2 The model 64
5.3 Comparative statics 66
5.4 Solution of the model 69
5.5 Concluding remarks 72
7
6 Empirical Application of the Model with Constant Variance 74
6.1 Data and organization of the empirical study 74
6.2 A model with constant variance 77
6.3 Changes in the standard deviation of borrowing 85
7 Estimation of the Reserve Model with Time Dependent
Conditional Variance 88
7.1 A nonlinear GARCH in mean model 88
7.2 Empirical results from GARCH(l,l) in mean 93
7.3 Specification of the variance equation 101
7.4 Alternative distributional assumptions 108
7.5 Estimation results from the modified GARCH in
mean model 110
7.6 Concluding remarks 115
8 Summary and Conclusions 117
Appendix 1: Risk premium 124
Appendix 2: Comparative statics of the liquidity
control model 126
Appendix 3: Additional estimation results from applications
with constant conditional variance 129
Appendix 4: Maximum likelihood estimation of a nonlinear
GARCH in mean model 132
Appendix 5: Estimating of GARCH in mean model with
Student s t distribution 135
Appendix 6: Modelling the residuals as an AR(1) process 137
Bibliography 140
|
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| id | DE-604.BV005583760 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:31:52Z |
| institution | BVB |
| isbn | 9516863248 |
| language | English |
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| physical | 145 S. graph. Darst. |
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| spelling | Pulli, Markku Verfasser aut Overnight market interest rates and banks' demand for reserves in Finland Markku Pulli Helsinki 1992 145 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Suomen Pankki <Helsinki>: Julkaisuja / B 47 Zugl.: Helsinki, Univ., Diss., 1992 Mathematisches Modell Bank reserves Finland Mathematical models Interest rates Finland Mathematical models Tagesgeld (DE-588)4299402-0 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Zinsfuß (DE-588)4190927-6 gnd rswk-swf Rücklage (DE-588)4178646-4 gnd rswk-swf Finnland Finnland (DE-588)4017243-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Finnland (DE-588)4017243-0 g Tagesgeld (DE-588)4299402-0 s Zinsfuß (DE-588)4190927-6 s Bank (DE-588)4004436-1 s Rücklage (DE-588)4178646-4 s DE-604 B Suomen Pankki <Helsinki>: Julkaisuja 47 (DE-604)BV000899183 47 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003496337&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pulli, Markku Overnight market interest rates and banks' demand for reserves in Finland Mathematisches Modell Bank reserves Finland Mathematical models Interest rates Finland Mathematical models Tagesgeld (DE-588)4299402-0 gnd Bank (DE-588)4004436-1 gnd Zinsfuß (DE-588)4190927-6 gnd Rücklage (DE-588)4178646-4 gnd |
| subject_GND | (DE-588)4299402-0 (DE-588)4004436-1 (DE-588)4190927-6 (DE-588)4178646-4 (DE-588)4017243-0 (DE-588)4113937-9 |
| title | Overnight market interest rates and banks' demand for reserves in Finland |
| title_auth | Overnight market interest rates and banks' demand for reserves in Finland |
| title_exact_search | Overnight market interest rates and banks' demand for reserves in Finland |
| title_full | Overnight market interest rates and banks' demand for reserves in Finland Markku Pulli |
| title_fullStr | Overnight market interest rates and banks' demand for reserves in Finland Markku Pulli |
| title_full_unstemmed | Overnight market interest rates and banks' demand for reserves in Finland Markku Pulli |
| title_short | Overnight market interest rates and banks' demand for reserves in Finland |
| title_sort | overnight market interest rates and banks demand for reserves in finland |
| topic | Mathematisches Modell Bank reserves Finland Mathematical models Interest rates Finland Mathematical models Tagesgeld (DE-588)4299402-0 gnd Bank (DE-588)4004436-1 gnd Zinsfuß (DE-588)4190927-6 gnd Rücklage (DE-588)4178646-4 gnd |
| topic_facet | Mathematisches Modell Bank reserves Finland Mathematical models Interest rates Finland Mathematical models Tagesgeld Bank Zinsfuß Rücklage Finnland Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003496337&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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