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Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields …), and regulated interest rates (retail lending and deposit rates), reflecting China's gradual process of interest rate … liberalization. This paper investigates the main drivers of China's interbank rates by developing a stylized theoretical model of …
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We introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit-risk uncertainty and peer monitoring are significant factors in...
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