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Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - C.E.P.R. Discussion Papers - 2010
banks to have private information about the risk of their assets. We show how banks' asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10008530367
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Simultaneous Search and Network Efficiency
Gautier, Pieter A; Holzner, Christian - C.E.P.R. Discussion Papers - 2011
When workers send applications to vacancies they create a network. Frictions arise if workers do not know where other workers apply to (this affects network creation) and firms do not know which candidates other firms consider (this affects network clearing). We show that those frictions and the...
Persistent link: https://www.econbiz.de/10009246606
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Rational Inattention and Organizational Focus
Dessein, Wouter; Galeotti, Andrea; Santos, Tano - C.E.P.R. Discussion Papers - 2013
We examine the allocation of scarce attention in team production. Each team member is in charge of a specialized task, which must be adapted to a privately observed shock and coordinated with other tasks. Coordination requires that agents pay attention to each other, but attention is in limited...
Persistent link: https://www.econbiz.de/10011084079
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Bank Networks: Contagion, Systemic Risk and Prudential Policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - C.E.P.R. Discussion Papers - 2015
traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate …
Persistent link: https://www.econbiz.de/10011252622
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Asset Commonality, Debt Maturity and Systemic Risk
Allen, Franklin; Babus, Ana; Carletti, Elena - C.E.P.R. Discussion Papers - 2011
We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks hold common asset portfolios and default together....
Persistent link: https://www.econbiz.de/10009205064
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The Diffusion of Microfinance
Banerjee, Abhijit; Chandrasekhar, Arun G; Duflo, Esther; … - C.E.P.R. Discussion Papers - 2012
We examine how participation in a microfinance program diffuses through social networks. We collected detailed demographic and social network data in 43 villages in South India before microfinance was introduced in those villages and then tracked eventual participation. We exploit exogenous...
Persistent link: https://www.econbiz.de/10011084550
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A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets
Acharya, Viral V; Skeie, David - C.E.P.R. Discussion Papers - 2011
leveraged banks’ precautionary demand for liquidity. When adverse asset shocks materialize, a bank’s ability to roll over debt … is impaired because of agency problems associated with high leverage. In turn, a bank’s propensity to hoard liquidity is …
Persistent link: https://www.econbiz.de/10009385771
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Ethnic Identity and Social Distance in Friendship Formation
De Martí, Joan; Zenou, Yves - C.E.P.R. Discussion Papers - 2009
We analyze a model of network formation with agents that belong to different communities and an endogenous cost structure. Both individual benefits and costs depend on direct as well as indirect connections. Benefits of an indirect connection decrease with distance in the network, while the cost...
Persistent link: https://www.econbiz.de/10008491722
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A Dynamic Model of Network Formation with Strategic Interactions
König, Michael; Tessone, Claudio J.; Zenou, Yves - C.E.P.R. Discussion Papers - 2009
In order to understand the different characteristics observed in real-world networks, one needs to analyze how and why networks form, the impact of network structure on agents' outcomes, and the evolution of networks over time. For this purpose, we combine a network game introduced by Ballester...
Persistent link: https://www.econbiz.de/10008577811
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From Assortative to Dissortative Networks: The Role of Capacity Constraints
König, Michael; Tessone, Claudio J.; Zenou, Yves - C.E.P.R. Discussion Papers - 2010
We consider a dynamic model of network formation where agents form and sever links based on the centrality of their potential partners. We show that the existence of capacity constrains in the amount of links an agent can maintain introduces a transition from dissortative to assortative...
Persistent link: https://www.econbiz.de/10008684691