Liquidity risk, credit risk and the overnight interest rate spread: a Stochastic Volatility modelling approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs o...

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Bibliographic Details
Main Authors: Beirne, John, Caporale, Guglielmo Maria, Spagnolo, Nicola
Format: Article
Language:English
Published: Centre for EMEA Banking, Finance and Economics, London Metropolitan University 2011
Subjects:
Online Access:https://repository.londonmet.ac.uk/429/1/CentreforEMEABankingFinanceAndEconomicsWorkingPaperSeries%20No.17%2011.pdf