Liquidity risk premia in unsecured interbank money markets

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.

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Year of publication:	2009
Authors:	Eisenschmidt, Jens ; Tapking, Jens
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Geldmarkt \| Bankenliquidität \| Risikoprämie \| Kreditderivat \| Finanzkrise \| Eurozone \| 2007/2008 financial market turmoil \| interbank money markets \| Liquidity premium \| unsecured lending

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Series:	ECB Working Paper ; 1025
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	599484128 [GVK] hdl:10419/153459 [Handle] RePEc:ecb:ecbwps:20091025 [RePEc]
Classification:	G01 - Financial Crises ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	EconStor

Persistent link: https://www.econbiz.de/10011605071