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Author/Editor:
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Vandenbussche, Jérôme ; Blazsek, Szabolcs ; Watt, Stanley
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Publication Date:
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October 01, 2009
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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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.
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Order a print copy
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Series:
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Working Paper No. 09/228
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Subject(s):
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Banking systems | Central banks | Demand for money | Excess liquidity | Jordan | Liquidity management | Monetary operations | Monetary policy | Money markets | Money supply | Reserve requirements
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Author's Keyword(s):
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interbank market | liquidity effect | liquidity distribution | monetary operations |
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