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Persistent link: https://www.econbiz.de/10010863598
We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday pattern, implicitly creating a positive intraday interest rate. While this normally reflects only some frictions, a liquidity crisis introduces a new component: the chance of an upward jump of the...
Persistent link: https://www.econbiz.de/10010987888