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

ISBN: 9786613829702

Published: October 1st 2009

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27 pages


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

The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan by Jrme Vandenbussche
October 1st 2009 | ebook | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 27 pages | ISBN: 9786613829702 | 10.34 Mb

This paper analyzes the determinants of daily changes in Jordans 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 thatMoreThis paper analyzes the determinants of daily changes in Jordans 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 banks daily forecast errors to identify the liquidity effect.



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