What Is The Best Way To Help? Central Bank Strategies And The Interbank Market

2020 ◽  
Author(s):  
Gabor Kuerthy ◽  
Agnes Vidovics-Dancs ◽  
Janos Szaz ◽  
Peter Juhasz
Keyword(s):  
Central Bank ◽  
Interbank Market

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

LIQUIDITY, INTERBANK MARKET, AND THE SUPERVISORY ROLE OF THE CENTRAL BANK

2003 ◽  
Vol 7 (2) ◽  
pp. 192-211 ◽  
Author(s):  
Young Sik Kim
Keyword(s):  
Central Bank ◽  
Banking System ◽  
Central Banking ◽  
Bank Loans ◽  
Interbank Market ◽  
Monitoring Cost ◽  
Delegated Monitoring ◽  
The Individual ◽  
Cash Reserves

This paper provides an explanation for the supervisory role of the central bank in a monetary general equilibrium model of bank liquidity provision. Under incomplete information on the individual banks' liquidity needs, individual banks find it optimal to invest solely in bank loans holding no cash reserves, and rely on the interbank market for their withdrawal demands. Using the costly state verification approach under uncertainty in aggregate liquidity demands, the supervisory role of the central bank as a large intermediary arises as an incentive-compatible arrangement by which banks hold the correct level of cash reserves. First, it takes up a delegated monitoring role for the banking system. Second, it engages in discount-window lending at a penalty rate, where the discount margin covers exactly the monitoring cost incurred. Finally, under the central banking mechanism, currency premium no longer exists in the sense that currency is worth the same as deposits having an equal face value.

scholarly journals Interbank market liquidity and central bank intervention

2009 ◽  
Vol 56 (5) ◽  
pp. 639-652 ◽  
Author(s):  
Franklin Allen ◽  
Elena Carletti ◽  
Douglas Gale
Keyword(s):  
Central Bank ◽  
Market Liquidity ◽  
Interbank Market ◽  
Central Bank Intervention

scholarly journals Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Tobias S. Blattner ◽  
Jonathan M. Swarbrick
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Financial Structure ◽  
Real Economy ◽  
Interbank Market ◽  
Cross Border ◽  
Market Fragmentation ◽  
Initial Shock ◽  
Asset Purchases

AbstractWe present a two-country model featuring risky lending and cross-border interbank market frictions. We find that (i) the strength of the financial accelerator, when applied to banks operating under uncertainty in an interbank market, will critically depend on the economic and financial structure of the economy; (ii) adverse shocks to the real economy can be the source of banking crisis, causing an increase in interbank funding costs, aggravating the initial shock; and (iii) asset purchases and central bank long-term refinancing operations can be effective substitutes for, or supplements to, conventional monetary policy.

scholarly journals Rwanda

2020 ◽  
Vol 20 (9) ◽  
Author(s):  
Keyword(s):  
Central Bank ◽  
Trade Deficit ◽  
Terms Of Trade ◽  
Fiscal Deficit ◽  
Interbank Market ◽  
Sovereign Bond ◽  
Private And Public ◽  
Deficit Spending ◽  
Strong Performance ◽  
Public Construction

Growth continues to outpace expectations. 2019 H1 growth was 10.3 percent y/y, fueled by private and public construction. Inflation rose at a slightly slower pace than anticipated in the first half of 2019, and 12-month average inflation was below the MPCC band from June-August this year. Lower-than-anticipated donor disbursements and higher execution of externally-financed deficit spending resulted in a higher-than-expected FY18/19 fiscal deficit, financed by a higher float and spending adjustment. Strong uptake of longer-term sovereign bond and an increased float led to domestic liquidity pressures in July-September, prompting greater activity on the interbank market and liquidity injections by the central bank. The trade deficit increased slightly more than expected in the first three quarters of 2019, due to adverse terms of trade and strong capital imports. This was largely offset by an improvement in services, largely reflecting strong performance of RwandAir. The RWF had depreciated by 4.7 percent at end-October y/y, and international reserves remain adequate.

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