(), Helene Birenstam
() and Johanna Eklund
Annika Alexius: Dept. of Economics, Stockholm University, Postal: Department of Economics, Stockholm University, S-106 91 Stockholm, Sweden
Helene Birenstam: Department of Statistics, Stockholm University, Postal: Department of Statistics,, Stockholm University, S-106 91 Stockholm, Sweden
Johanna Eklund: Sveriges Riksbank, Postal: Financial Stability Department , Sveriges Riksbank, S-103 37 Stockholm, Sweden
Abstract: When the interbank market risk premium soared during the finnancial crisis, it created a wedge between interest rates actually paid by private agents and the rapidly falling policy rates. Many central banks attempted to improve the situation by supplying liquidity to the domestic interbank market. This paper studies the Swedish interbank market risk premium using a unique data set on traded volume between banks and between banks and the Riksbank. We find that the main determinants of the Swedish interbank premium are international variables, such as US and EURO area risk premia. International exchange rate volatility and the EURO/USD deviations from CIP also matters, while standard mesures of domestic market liquidity and domestic credit risk have insignificant effects. Our measure of actual turnover in the interbank market is however associated with a significant reduction of the interbank market risk premium, as are credit provisions by the central bank.
36 pages, February 6, 2014
Full text files
Questions (including download problems) about the papers in this series should be directed to Sten Nyberg ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-01-23 23:38:29.