European Parliament Library

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

Abstract
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
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Literature review; III. The Monetary Framework and the Overnight Interbank Market in Jordan; 1. Deposits on the Overnight Window as a Ratio of Required Reserves on the Last Day of the Maintenance Period; 2. Ratio of Excess to Required Reserves and the Interbank Rate; 3. Ratio of Interbank Trading Volume to Required Reserves and the Interbank Spread to Overnight Window Rate; 4. Window Deposit, Interbank, and Repo Rates; 1. Summary Statistics; 5. Interbank Window Rate Spread and Supplier Herfindahl Index
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (46 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781283517256

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