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Unsecured and secured funding
Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018
We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...
Persistent link: https://www.econbiz.de/10011818292
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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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The Role of Counterparty Risk and Asymmetric Information in the Interbank Market
Cappelletti, Giuseppe - 2017
We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of 2011. With the onset of the crisis, interest rates in the Italian interbank market soared and foreign lending decreased...
Persistent link: https://www.econbiz.de/10012962465
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Banking and Transparency : Is More Information Always Better?
Allenspach, Nicole - 2009
This paper shows that transparency in banking can be harmful from a social planner's point of view. According to our … model, enhancing transparency above a certain level may lead to the inefficient liquidation of a bank. The reason lies in … transparency may be useful to reduce incentives for excessive risk-taking (moral hazard), it may also increase the risk of …
Persistent link: https://www.econbiz.de/10013153062
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Informational Efficiency of Credit Ratings
Aggarwal, Nidhi; Singh, Manish; Thomas, Susan - 2022
The timeliness of the credit rating of a firm has been frequently called into question over the previous two decades. This paper examines whether changes in credit ratings can be updated more frequently than at the frequency of updates in the accounting data. The paper finds that, when market...
Persistent link: https://www.econbiz.de/10014239653
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The blockchain, plums, and lemons : information asymmetries & transparency in decentralized markets
Notheisen, Benedikt; Weinhardt, Christof - 2019
information, this study analyzes the effect of the blockchain's public transparency paradigm on behavioral patterns and market …
Persistent link: https://www.econbiz.de/10011979156
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(When) Does Transparency Hurt Liquidity?
Balakrishnan, Karthik - 2020
Conventional wisdom suggests that increases in public information improve market liquidity. However, if greater public information incentivizes only sophisticated investors to produce private information, it could exacerbate information asymmetry among investors and thus reduce liquidity. We...
Persistent link: https://www.econbiz.de/10012847909
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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/10003969274
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Lemons and money market?
Ewerhart, Christian; Feubli, Patricia - 2010
This paper identifies simple conditions for monotone comparative statics of a unique equilibrium in the Akerlof-Wilson model. Separate conditions apply to trade volume and price. Trade volume increases when supply becomes both stronger and more elastic. In contrast, price decreases when supply...
Persistent link: https://www.econbiz.de/10003973048
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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