Blar i Arbeidsnotater / Working Papers på emneord "liquidity premium"
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Asymmetric Information in the Interbank Foreign Exchange Market
(Working Papers;25/2008, Working paper, 2008)This paper provides evidence of private information in the interdealer foreign exchange market. In so doing it provides support for the hypothesis that information is an important reason for the strong positive correlation ... -
The Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreads
(Working Papers;7/2014, Working paper, 2014)This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy ...