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Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas - 2014
connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …
Persistent link: https://www.econbiz.de/10010352025
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Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Lux, Thomas - 2014
connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …
Persistent link: https://www.econbiz.de/10010398689
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Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
Montagna, Mattia; Lux, Thomas - 2014
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...
Persistent link: https://www.econbiz.de/10010369601
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Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Montagna, Mattia; Lux, Thomas - 2014
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...
Persistent link: https://www.econbiz.de/10010398694
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Liquidity hoarding and interbank market spreads: the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10011605172
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Interbank lending and the demand for central bank loans: A simple microfoundation
Pasche, Markus - 2010
The paper presents a simple model of banking behavior where portfolio, liquidity, and liability management determine …
Persistent link: https://www.econbiz.de/10010281689
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The euro area interbank market and the liquidity management of the eurosystem in the financial crisis
Hauck, Achim; Neyer, Ulrike - 2010
are high, the central bank assumes an intermediary function between liquidity surplus banks and liquidity deficit banks …
Persistent link: https://www.econbiz.de/10010302571
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Dynamic R&D networks
König, Michael D. - 2013
In this paper we analyze R&D collaboration networks in industries where firms are competitors in the product market. Firms' benefits from collaborations arise by sharing knowledge about a cost-reducing technology. By forming collaborations, however, firms also change their own competitive...
Persistent link: https://www.econbiz.de/10010316852
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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014
-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …
Persistent link: https://www.econbiz.de/10010409361
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How does the ECB allot liquidity in its weekly main refinancing operations?
Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003
This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to … understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been … deviations of the overnight rate from the main refinancing rate. Moreover the paper finds that liquidity has affected the …
Persistent link: https://www.econbiz.de/10009635957