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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015
Persistent link: https://www.econbiz.de/10010496224
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A dynamic network model of the unsecured interbank lending
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015
Persistent link: https://www.econbiz.de/10010488940
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; van Lelyveld, Iman - 2016
We introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit-risk uncertainty and peer monitoring are significant factors in...
Persistent link: https://www.econbiz.de/10011754800
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - de Nederlandsche Bank - 2015
market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …
Persistent link: https://www.econbiz.de/10011185013
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Monetary policy and liquidity management with an endogenous interbank network
Carpizo, Luiz Guilherme; Hiller, Timo - 2022
network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …
Persistent link: https://www.econbiz.de/10013440018
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The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market
Sarmiento, Miguel - 2019 - second version: January 2019
This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects … of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity … shock related to the U.S. tapering observed between May and September of 2013. We find that both liquidity shocks are …
Persistent link: https://www.econbiz.de/10011958312
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A Dynamic Network Model of the Unsecured Interbank Lending Market
Blasques, Francisco - 2015
market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …
Persistent link: https://www.econbiz.de/10013027536
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A Dynamic Network Model of the Unsecured Interbank Lending Market
Blasques, Francisco - 2015
market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …
Persistent link: https://www.econbiz.de/10013027582
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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Frictions in the interbank market and uncertain liquidity needs : implications for monetary policy implementation
Bucher, Monika; Hauck, Achim; Neyer, Ulrike - 2014 - [rev.]
This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …
Persistent link: https://www.econbiz.de/10010384796