Liquidity Risk Premia in Unsecured Interbank Money Markets
42 Pages Posted: 6 Mar 2009
Date Written: March 6, 2009
Abstract
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity risk of lenders in unsecured term money markets.
Keywords: Liquidity premium, interbank money markets, unsecured lending, 2007/2008 financial market turmoil
JEL Classification: G01, G10, G21
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Leverage, Moral Hazard and Liquidity
By Viral V. Acharya and S. Viswanathan
-
Leverage, Moral Hazard and Liquidity
By Viral V. Acharya and S. Viswanathan
-
Fire-Sale FDI and Liquidity Crises
By Mark Aguiar and Gita Gopinath
-
By Viral V. Acharya, Hyun Song Shin, ...
-
By Viral V. Acharya, Hyun Song Shin, ...
-
By Viral V. Acharya, Hyun Song Shin, ...
-
A Theory of Slow-Moving Capital and Contagion
By Viral V. Acharya, Hyun Song Shin, ...
-
A Theory of Slow-Moving Capital and Contagion
By Viral V. Acharya, Hyun Song Shin, ...
-
A Theory of Slow-Moving Capital and Contagion
By Viral V. Acharya, Hyun Song Shin, ...
-
By Efraim Benmelech and Nittai Bergman