Browsing Arbeidsnotater / Working Papers by Author "Fevolden, Mats Bay"
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Identification of Interbank Loans and Interest Rates from Interbank Payments - a Reliability Assessment
Akram, Q. Farooq; Fevolden, Mats Bay; Smith, Lyndsie (Working Paper;8/2018, Working paper, 2018)We investigate the reliability of the 'Furfine filter' often used to identify interbank loans and interest rates from interbank payments settled at central banks. To this end, we have been granted access to records of all ...