Les cahiers du CREAD
Volume 39, Numéro 2, Pages 365-393
2023-06-22
Assessment Of Algerian Interbank Interest Rate Through Extreme Value Theory
Authors : Achouche Mohamed . Afroune Nadia .
Abstract
This article tries to examine the evolution of interest rates of the Algerian interbank money market which focus on the behavior of extreme. Empirical results illustrate that data are not distributed normally, exhibit that their distribution are fat tails. Applying the GEV method on the maxima shows that the distribution law of the maxima changes over time due to the non-stationary data. Subsequent investigations suggest two subsample periods. The first period characterized by A deterioration of the liquidity of Algerian banks following the collapse of oil price (1997-2000), the distribution law obtained is the law of Fréchet, but during the period characterized by an excess liquidity of the banks resulting from the increase in oil prices (2002-2013), the distribution law found is that of Weibull which is right bounded.
Keywords
The interbank market, the overnight rate, Normal law, Extreme value theory, Algeria.
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