Abstract
This article tries to examine the evolution of interest rates in the Algerian interbank money market which focuses on the behavior of extreme. Empirical results illustrate that data are not distributed normally, exhibiting that their distribution is 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 prices (1997-2000), the distribution law obtained is the law of Fréchet, but during the period characterized by an excess liquidity of the banks resulted from the increase in oil prices (2002-2013), the distribution law found is that of Weibull which is right bounded.
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