The price of liquidity : bank characteristics and market conditions /

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across...

Full description

Bibliographic Details
Main Author: Fecht, Falko
Other Authors: Nyborg, Kjell G., Rocholl, Jörg
Format: Book
Language:English
Published: Frankfurt am Main : European Central Bank, 2011
Series:Working paper series ; no. 1376
Subjects:
Online Access:https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1376.pdf?9d38c0b0d93e61280b5ede76f035b936