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

Label
The Liquidity and Liquidity Distribution Effects in Emerging Markets :, The Case of Jordan
Language
eng
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
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
The Liquidity and Liquidity Distribution Effects in Emerging Markets :
Nature of contents
dictionaries
Oclc number
870245491
Series statement
IMF Working Papers
Sub title
The Case of Jordan
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 Index6. Interbank Window Rate Spread and Demander Herfindahl Index7. Interbank Spread (Over Overnight Deposit Rate) by Maintenance Day; 8. Evening Ratio of Window Deposits to Required Reserves by Maintenance Day; 9. Ratio of Cumulative Excess Reserves (Net of Window Deposits) to Cumulative Required Reserves by Maintenance Day; IV. Measuring the Liquidity Effect and the Liquidity Distribution Effects; 2. Baseline Specification; 3. Extended Specification (by Day of the Maintenance Period); V. Conclusion; Footnotes
Classification
Content
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