Showing 1 - 10 of 96
Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model … that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking … sector. In an upcoming liquidity shortage this large bank can exploit its informational …
Persistent link: https://www.econbiz.de/10012989301
This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure...
Persistent link: https://www.econbiz.de/10012989240
risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked …
Persistent link: https://www.econbiz.de/10012989222
This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with data about interbank exposures. We find that the frequency distribution of the LGD is u-shaped. Under...
Persistent link: https://www.econbiz.de/10012989232
characteristics of the individual banks into account. In particular, we consider variable that capture the different use of liquidity … and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are … the way liquidity risk is managed in the banking sctor …
Persistent link: https://www.econbiz.de/10012989320
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...
Persistent link: https://www.econbiz.de/10012989218
retail banking. We argue that the distribution of regional liquidity shocks may pose a natural limit to the extent of cross …
Persistent link: https://www.econbiz.de/10012989302
This paper analyzes the effect of the business cycle on the regulatory capital buffer of German savings and cooperative banks in the period 1993-2003. The capital buffer is found to fluctuate anticyclically over the business cycle. The fluctuation is stronger for savings banks than for...
Persistent link: https://www.econbiz.de/10012989323
This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...
Persistent link: https://www.econbiz.de/10012989341
This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of … less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in … the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds …
Persistent link: https://www.econbiz.de/10012989265