Economics, Econometrics and Finance
4 years ago

Jordan's Liquidity Distribution Effect Revealed: Impact on Market Volatility.

IMF Working Paper
The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan
Jérôme Vandenbussche, Stanley Watt, Szabolcs Blazsek

Paper Summary

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The article analyzes what causes daily changes in Jordan's interbank market overnight rate. It shows that the amount of excess reserves affects rate changes in a specific way, and that the rate's volatility is more influenced by reserve surplus than by the level of excess reserves. The researchers used the central bank's daily forecast errors to identify these effects.