Browsing Norges Banks vitenarkiv by Author "Christophersen, Casper"
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Inferring Interbank Loans and Interest Rates from Interbank Payments - an Evaluation
Akram, Q. Farooq; Christophersen, Casper (Working Papers;26/2013, Working paper, 2013)We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among ... -
Interbank Overnight Interest Rates - Gains from Systemic Importance
Akram, Q. Farooq; Christophersen, Casper (Working Papers;11/2010, Working paper, 2010)We study overnight interbank interest rates paid by banks in Norway over the period 2006-2009. We observe large variations in interest rates across banks and over time. During the financial crisis, the interest rates are ... -
Norwegian Overnight Interbank Interest Rates
Akram, Q. Farooq; Christophersen, Casper (Staff Memo;1/2011, Working paper, 2011)This paper addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement ... -
Operational Problems in Banks – Effects on the Settlement of Payments in Norges Bank
Berge, Tor Oddvar; Christophersen, Casper (Journal article, 2012)The settlement process in the Norges Bank settlement system (NBO) will be affected if an operational problem occurs in one of its participating banks. The inability of one bank to send payments may have significant effects ... -
Operational problems in banks – Effects on the settlement of payments in Norges Bank
Berge, Tor Oddvar; Christophersen, Casper (Journal article, 2012)We analyse the robustness of the settlement process in the Norges Bank settlement system (NBO) to operational problems in one of its participating banks. The analysis is based on a large number of simulations using actual ... -
Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support
Akram, Q. Farooq; Christophersen, Casper (Working Papers;2/2016, Working paper, 2016)We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over ...