Marius Jurgilas, Assistant Professor of Economics, presented a paper this summer at the 13th International Conference on Computing in Economics and Finance in Montréal June 14 – 16, 2007.
The paper, “Interbank markets under currency boards,” analyzes how overnight interest rates charged on loans between banks behave in currency board countries (a form of fixed exchange rate regime). Using daily data from the interbank markets in Bulgaria and Lithuania Jurgilas finds that, contrary to the existing literature, overnight interest rates tend to decrease towards the end of the reserve holding period. This paper is important for understanding liquidity markets and how to make payment systems more efficient.