Does a bank levy increase frictions on the interbank market?
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Oglądaj/ Otwórz
Data
2018-03Autor
Hryckiewicz, Aneta
Mielus, Piotr
Skorulska, Karolina
Snarska, Małgorzata
Metadane
Pokaż pełny rekordStreszczenie
The crisis has shown that a drop in liquidity, as well as the shortened
maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets in Poland has affected the interbank market, as well as money market pricing. Analyzing daily volume and number of interbank transactions, along with daily bank quotes, we document that the bank levy has significantly reduced trading intensity on the market, shortening the maturity of transactions. We also find that it has increased the dispersion of bank quotes for short-term transactions, while at the same time ''killing'' interbank long-term
transactions, including the pricing for this market. The regulators should re-think the nature of bank levies in several countries, as they negatively affect the functioning of the interbank market and brings intoquestion the credibility of interbank benchmarks.
Strona wydawnictwa
http://wydawnictwo.sgh.waw.plKolekcje
- KAE Working Papers [105]
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