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Liquidity risk premia in unsecured interbank money markets

Author

Listed:
  • Tapking, Jens
  • Eisenschmidt, Jens

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. JEL Classification: G01, G10, G21

Suggested Citation

  • Tapking, Jens & Eisenschmidt, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20091025
    Note: 428113
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1025.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    2007/2008 financial market turmoil; interbank money markets; liquidity premium; unsecured lending;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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