Assessment of algerian interbank interest rate through extreme value theory

This article tries to examine the evolution of interest rates in Algerian interbank money market which focuses on behavior extreme. Empirical results illustrate that data are not distributed normally, exhibiting their distribution is fat tails. Applying GEV method maxima shows law changes over time due non-stationary data. Subsequent investigations suggest two subsample periods. The first period characterized by a deterioration liquidity banks following collapse oil prices (1997-2000), obtained Fréchet, but during an excess resulted from increase (2002-2013), found Weibull right bounded.