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The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?
Martínez, Constanza; León, Carlos - Banco de la Republica de Colombia - 2014
Under the view that the market is a weighted and directed network (Barabási, 2003), this document is a first attempt to model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing...
Persistent link: https://www.econbiz.de/10010733996
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The Cost of Collateralized Borrowing in the Colombian Money Market : Does Connectedness Matter?
Martinez Ventura, Constanza - 2014
Under the view that the market is a weighted and directed network, we model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing (i.e. sell/buy backs) among Colombian financial...
Persistent link: https://www.econbiz.de/10013058407
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As …
Persistent link: https://www.econbiz.de/10010393220
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Segmentation and efficiency of the interbank market in Kenya
Sichei, Moses Muse; Tirongo, Samuel Kiplang'at; Shimba, … - 2012
This paper studies segmentation and efficiency of the interbank market in Kenya. The study utilizes network framework … and case studies of countries with developed interbank markets, namely the UK, EU and the US. Using daily data for the … period June 2003 to September 5 2012, the study finds that Kenya's interbank market is incomplete and highly segmented by …
Persistent link: https://www.econbiz.de/10012801990
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Risk monitoring in Ecuador's payment system : implementation of a network topology study
Rubio, Jeniffer; Pérez, Bryan; Arroyo, John - In: Latin American journal of central banking : LAJCB 2 (2021) 3, pp. 1-19
methodology as a tool to study the characteristics and properties of the Interbank Payment System (SPI) in Ecuador. We establish …
Persistent link: https://www.econbiz.de/10012659017
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Procyclical leverage and value-at-risk
Adrian, Tobias; Shin, Hyun Song - London School of Economics (LSE) - 2013
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks’ value-at-risk (VaR). Motivated by the evidence, we explore a contracting model that...
Persistent link: https://www.econbiz.de/10011171761
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The determinants of loan contracts to business firms
Pham, Thi Thu Trà; Lensink, Robert - 2006
the bank uses in lending to business firms, namely loan maturity, collateral and loan interest rate. Based upon the …-directional relationships between collateral and loan maturity, loan rate and loan maturity, and a uni-directional relationship between loan … rate and collateral. The conflicting signs within the collateral–loan maturity relationship and the loan interest rate …
Persistent link: https://www.econbiz.de/10010284672
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(In)efficient repo markets
Dieler, Tobias; Mancini, Loriano; Schürhoff, Norman - 2021
Repo markets trade off the efficient allocation of liquidity in the financial sector with resilience to funding shocks. The repo trading and clearing mechanisms are crucial determinants of the allocation-resilience tradeoff. The two common mechanisms, anonymous central-counterparty (CCP) and...
Persistent link: https://www.econbiz.de/10012487590
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How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data
Kupiec, Paul - 2014
I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I apply these methods to Moody's data on corporate defaults over the period 1920–2008 and assess the model fit and construct hypothesis tests using bootstrap methods. The results...
Persistent link: https://www.econbiz.de/10013070465
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Banking Environment, Agency Costs, and Loan Syndication : A Cross-Country Analysis
Godlewski, Christophe J. - 2008
Bank loan syndicate structure can be considered as an organizational response to agency problems stemming from the syndication process. The banking environment also influences the syndication process. We investigate how syndicate structure is influenced by the characteristics of the banking...
Persistent link: https://www.econbiz.de/10012724477