The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan

This paper analyzes the determinants of daily changes in Jordan''s interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex...

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Bibliographic Details
Main Author: Vandenbussche, Jérôme (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 2009
Series:IMF Working Papers Working Paper No. 09/228
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Summary:This paper analyzes the determinants of daily changes in Jordan''s interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex function of the level of excess reserves. It finds that the volatility of rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of excess reserves. As Carpenter and Demiralp (2006), it uses the series of the central bank''s daily forecast errors to identify the liquidity effect
Physical Description:1 Online-Ressource (25 p)
ISBN:1451873751
9781451873757

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