We investigate activity and pricing in the Norwegian unsecured overnight interbank market in response to a change in the central bank’s liquidity policy. In October 2011, to encourage interbank trading, banks were allotted quotas for their overnight reserves with remuneration at the policy rate, while that on overnight reserves beyond allotted quotas was set one percentage point lower. In addition, total liquidity in the system was substantially reduced and targeted within a narrow range. We document a significant increase in interbank activity and a fall in interest rates relative to the policy rate following the policy shift. Banks are found to distribute total liquidity more actively as borrowers and lenders. In particular, banks generally borrow from their peers at lower interest rates than before the policy shift.

我们针对挪威央行无流动性隔夜银行间市场的活动和定价进行了调查，以应对央行流动性政策的变化。2011年10月，为鼓励银行间交易，为银行的隔夜准备金分配了配额，薪酬为政策利率，而超出配额的隔夜准备金则降低了一个百分点。另外，系统中的总流动性大大降低，并且目标范围很窄。我们发现，随着政策转变，银行同业活动显着增加，利率相对于政策利率下降。人们发现银行以借款人和贷方的身份更积极地分配总流动性。特别是，银行通常以比政策调整前更低的利率向同业借款。