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Liquidity hoarding and interbank market spreads: the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10011605172
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Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk
Heider, Florian - 2009
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks' asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10013153429
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The Minimum Liquidity Deficit and the Maturity Structure of Central Banks' Open Market Operations : Lessons from the Financial Crisis
Eisenschmidt, Jens - 2011
bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is … found that marginal rates at central bank auctions may increase if the share of troubled banks becomes too high relative to … market operations needed to absorb large stress levels in interbank money markets and hence contain central bank auction …
Persistent link: https://www.econbiz.de/10013132236