Showing 1 - 10 of 35,635
network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … aggregate liquidity holdings. This incurs an implicit cost, since these funds could be invested in the more productive illiquid …
Persistent link: https://www.econbiz.de/10013440018
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …
Persistent link: https://www.econbiz.de/10010238510
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 … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …
Persistent link: https://www.econbiz.de/10011434764
study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European … banks. We show the existence of a centrality premium when banks act as intermediaries of liquidity: banks with a one …
Persistent link: https://www.econbiz.de/10012972318
idiosyncratic liquidity shock, banks engage in bilateral lending to form an interbank network. We establish that the resulting …This paper develops a model of interbank lending based on liquidity and profitability considerations of homogeneous …
Persistent link: https://www.econbiz.de/10012942544
We formulate a model of the banking system in which banks control both their supply of liquidity, through cash holdings …, and their exposures to risky interbank loans. The value of interbank loans jumps when banks suffer liquidity shortages …, which can be caused by the arrival of large enough liquidity shocks. In two distinct settings, we compute the unique optimal …
Persistent link: https://www.econbiz.de/10014236007
performing computational experiment with this mode, we find that is shows a pronounced non-linear behavior under shock: The …
Persistent link: https://www.econbiz.de/10010394343
This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model,...
Persistent link: https://www.econbiz.de/10010407492
This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010348301
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010406423