We infer and model interbank overnight interest rates paid by banks in Norway over the period 2006{2009. We observe large variations in interest rates across banks and over time.During the nancial crisis, the interest rates are found to be substantially below indicative quotes of interest rates provided by major banks. Our econometric model attributes the interest rate variation partly to dierences in banks' characteristics including relative size and connectedness, implying favorable terms for banks of systemic importance. Interest rates are found to depend not only on overall liquidity in the interbank market, but possibly on its distribution among banks as well, suggesting exploitation of market power by banks with surplus liquidity. There is also evidence of stronger eects on interest rates of systemic importance, credit ratings and liquidity demand and supply since the start of the current nancial crisis.

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We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual overnight loans and interest rates reported daily by these banks to the Norwegian central bank since October 2011. We find that interbank payments can provide reliable information about overnight lending and overnight interest rates at the market level, and even at the bank level, for relatively small overnight lenders and large overnight lenders that mostly lend on their own behalf.

We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over the period 2006-09, which includes the sharp fall in interbank trading during the financial crisis. Our findings suggest relatively lower funding costs for banks of systemic importance, particularly for banks with many and valuable linkages to other banks. Moreover, interest rates are found to depend not only on overall liquidity in the interbank market, but on its distribution among banks as well. There is also evidence of stronger effects on interest rates of systemic importance, creditworthiness and liquidity demand and supply factors during the financial crisis.

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