Money Market Liquidity Under Currency Board - Empirical Investigations for Bulgaria

26 Pages Posted: 7 Jun 2004

See all articles by Nikolay Nenovsky

Nikolay Nenovsky

Bulgarian National Bank

Petar Chobanov

Bulgarian National Bank

Date Written: May 2004

Abstract

Over the last years the efficiency and existence of an automatic adjustment mechanism of currency boards are in the centre of economic discussions. This study is intended to provide an empirical analysis of the volume and interest rate of unsecured overnight deposits at Bulgarian interbank market. Three empirical models are developed in order to explain the behaviour of demand, supply and interest rates. The impact of reserve requirements, operations connected with government budget, transactions in reserve currency (Euro) and some seasonal factors is discussed. The developments of interest rates and volumes are well captured by the employed variables and their statistically significant signs coincide with the theoretical literature.

Keywords: Money market, currency board, Bulgaria

JEL Classification: E4, E5

Suggested Citation

Nenovsky, Nikolay and Chobanov, Petar, Money Market Liquidity Under Currency Board - Empirical Investigations for Bulgaria (May 2004). Available at SSRN: https://ssrn.com/abstract=555833 or http://dx.doi.org/10.2139/ssrn.555833

Nikolay Nenovsky (Contact Author)

Bulgarian National Bank ( email )

str "St. Sofia" 5
Sofia, 1040
Bulgaria
+ 359 2 9145 1239 (Phone)
+ 359 2 980 24 25 (Fax)

Petar Chobanov

Bulgarian National Bank ( email )

str "St. Sofia" 5
Sofia, 1040
Bulgaria

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