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Credit market competition and liquidity crises
Elena, Carletti; Leonello, Agnese - 2014
We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …
Persistent link: https://www.econbiz.de/10010249670
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CBDC and the operational framework of monetary policy
Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024
We analyze the impact of introducing a central bank-issued digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy as a whole. To this end, we develop a New Keynesian model with heterogeneous banks, a frictional interbank market, a central bank with deposit...
Persistent link: https://www.econbiz.de/10014456302
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Bank networks : contagion, systemic risk and prudential policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015
entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …
Persistent link: https://www.econbiz.de/10010475334
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Network formation and heterogeneous risks
Cabrales, Antonio; Gottardi, Piero - 2024
We study a new model to study the effect of contract externalities that arise through shock transmission. We model a financial network where good firms enjoy direct and indirect benefits from linking with one another. Bad risks benefit from having a connection with a good firm, but they are a...
Persistent link: https://www.econbiz.de/10014534063
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Risk-sharing and contagion in networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2014 - This version: January 15, 2014
We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation into small components is optimal, while minimal...
Persistent link: https://www.econbiz.de/10010260030
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The liquidity premium of digital payment vehicle
Chen, Zefeng; Jiang, Zhengyang - 2022
Do digital payment technologies generate liquidity premia like cash and Treasury? We provide an estimate in the context … demand system that models funds as imperfect substitutes, this size increase maps to a liquidity premium of about 0.8% per …
Persistent link: https://www.econbiz.de/10013365370
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The price of liquidity : bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …
Persistent link: https://www.econbiz.de/10003817884
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Simultaneous search and network efficiency
Gautier, Pieter; Holzner, Christian - 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/10009239488
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Dispersed information and the origins of aggregate fluctuations
Grazzini, Jakob; Massaro, Domenico - 2016
In the presence of dispersed information, agents may decide to take into account the actions of other agents because of the possible additional information conveyed by these actions. We call the act of using other agents' actions in the individual decision process social learning. This paper...
Persistent link: https://www.econbiz.de/10011489440
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Dissonance minimization and conversation in social networks
Anufriev, Mikhail; Borissov, Kirill; Pakhnin, Mikhail - 2021
We study a model of social learning in networks where the dynamics of beliefs are driven by conversations of dissonance-minimizing agents. Given their current beliefs, agents make statements, tune them to the statements of their associates, and then revise their beliefs. We characterize the...
Persistent link: https://www.econbiz.de/10012669809