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Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - 2014
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10010409360
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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014
In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...
Persistent link: https://www.econbiz.de/10010409361
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10010471492
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A Network View on Interbank Market Freezes
Gabrieli, Silvia - 2016
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10012988703
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Contagious Herding and Endogenous Network Formation in Financial Networks
Georg, Co-Pierre - 2016
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10012988737
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Interbank Intermediation
Bluhm, Marcel - 2016
implications for allocative efficiency and financial stability. A typical bank in our sample holds a significant amount of term and …This paper explores the economics of interbank lending and borrowing using bank-balance sheet data for Germany, the … innovations in the client book (i.e. non-bank deposit taking and lending). The resulting interbank book affects the bank …
Persistent link: https://www.econbiz.de/10012988627