Template-Type: ReDIF-Paper 1.0 
Title: Does a bank levy increase frictions on the interbank market?
Author-Name: Aneta Hryckiewicz 
Author-Name: Piotr Mielus 
Author-Name: Karolina Skorulska 
Author-Name: Małgorzata Snarska 
Abstract: The  crisis  has  shown  that  a  drop in liquidity, as  well  as the shortenedmaturity  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. Analyzingdaily 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.
Number: 2018-033
Length: 33 pages 
Creation-Date: 2018-03
Keywords: bank levy, interbank market, liquidity, money market, money market, friction
Classification-JEL: C32, G28, E43, C54
File-URL: https://hdl.handle.net/20.500.12182/1165
File-Format: Application/pdf
DOI: 10.33119/kaewps2018033
Handle: RePEc:sgh:kaewps:2018033