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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015
Persistent link: https://www.econbiz.de/10010496224
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The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market
Sarmiento, Miguel - 2019 - second version: January 2019
This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects … of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity … shock related to the U.S. tapering observed between May and September of 2013. We find that both liquidity shocks are …
Persistent link: https://www.econbiz.de/10011958312
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - In: Journal of economic dynamics & control 90 (2018), pp. 310-342
Persistent link: https://www.econbiz.de/10011974088
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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Frictions in the interbank market and uncertain liquidity needs : implications for monetary policy implementation
Bucher, Monika; Hauck, Achim; Neyer, Ulrike - 2014 - [rev.]
This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …
Persistent link: https://www.econbiz.de/10010384796
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Frictions in the interbank market and uncertain liquidity needs : implications for monetary policy implementation
Bucher, Monika; Hauck, Achim; Neyer, Ulrike - 2014
This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …
Persistent link: https://www.econbiz.de/10010252806
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Interbank funding as insurance mechanism for (persistent) liquidity shocks
Bluhm, Marcel - 2015
persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account …
Persistent link: https://www.econbiz.de/10011434764
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Money market rates and retail interest regulation in China : the disconnect between interbank and retail credit conditions
Porter, Nathaniel John; Xu, TengTeng - 2013
changes also influence interbank rates, as well as liquidity injections from open market operations in recent years. Our …
Persistent link: https://www.econbiz.de/10009757286
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Interbank market frictions and unconventional policy in a currency union
Swarbrick, Jonathan; Blattner, Tobias - 2017
In this paper we show how interbank market frictions can play an important role in propagating and enhancing the effects of shocks in a currency union, and discuss the efficacy of two unconventional policy measures; multi-period central bank refinance operations and large scale asset purchases....
Persistent link: https://www.econbiz.de/10011653062
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10012384482