Acharya, Viral V.; Skeie, David - In: Journal of Monetary Economics 58 (2011) 5, pp. 436-447
Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt...