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Burying Libor
Klingler, Sven; Syrstad, Olav - 2019
We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model …
Persistent link: https://www.econbiz.de/10012214298
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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
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...
Persistent link: https://www.econbiz.de/10009757286
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and 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...
Persistent link: https://www.econbiz.de/10011554714
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Bank networks : contagion, systemic risk and prudential policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...
Persistent link: https://www.econbiz.de/10010475334
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Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10010457126
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Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10010457931
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As … of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to … trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked …
Persistent link: https://www.econbiz.de/10010393220
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The Interbank Market after the Financial Turmoil : Squeezing Liquidity in a 'Lemons Market' or Asking Liquidity 'on Tap'
De Socio, Antonio - 2013
After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on tap' from central banks. This paper disentangles the...
Persistent link: https://www.econbiz.de/10013092137
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Central Bank Liquidity Auction Mechanism Design and the Interbank Market
Ollikka, Kimmo - 2013
We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue, efficiency and auction stage interest rate levels and...
Persistent link: https://www.econbiz.de/10013075449
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Structural Features and Interest-Rate Dynamics of Russia's Interbank Lending Market
Egorov, Alexey - 2013
Russian banks exhibit a range of behaviors that have led to distinct segmentation within the interbank lending market. This paper provides an overview of the core groups of banks operating in the market (state banks, private banks, and foreign-owned banks), as well as a discussion of their...
Persistent link: https://www.econbiz.de/10013076268