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| Author: | Gencay, R. Selcuk, F. |
| Title: | Overnight borrowing, interest rates and extreme value theory |
| Journal: | European Economic Review
2006 : APR, VOL. 50:3, p. 547-563 |
| Index terms: | financial crises interest rates money markets risk management Turkey value theory |
| Language: | eng |
| Abstract: | This article analyzes the extreme values of overnight borrowing rates in an inter-bank money market in Turkey before the Turkish economy experienced a financial crisis and overnight borrowing rates soared. The authors show that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. Also, by using data before the financial crisis, the authors make predictions of extreme overnight borrowing rates. |
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