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Network structure and fragmentation of the Argentinean interbank markets
Elosegui, Pedro; Forte, Federico D.; Montes-Rojas, Gabriel - In: Latin American journal of central banking : LAJCB 3 (2022) 3, pp. 1-17
This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL …) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured …
Persistent link: https://www.econbiz.de/10013393419
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Monetary policy and liquidity management with an endogenous interbank network
Carpizo, Luiz Guilherme; Hiller, Timo - 2022
network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … lines. Then, we endogenize the network and show that every equilibrium network is a complete coreperiphery graph. Central … accounting for banks' endogenous linking decisions, a narrower corridor may lead to a sparser interbank network with higher …
Persistent link: https://www.econbiz.de/10013440018
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Monetary policy implementation in an interbank network : effects on systemic risk
Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter - 2014
microfounded network model with endogenous network formation to analyze the impact of central banks' monetary policy interventions …
Persistent link: https://www.econbiz.de/10010337579
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Network structure and fragmentation of the Argentinean interbank markets
Elosegui, Pedro; Forte, Federico D.; Montes-Rojas, Gabriel - 2021
This paper studies the network structure and fragmentation of the Argentine interbank market. Both the unsecured (CALL … its potential implications for monetary policy and financial stability. Applying network analysis, different underlying …
Persistent link: https://www.econbiz.de/10012802027
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Interbank market and central bank policy
Ahn, Jung-hyun; Bignon, Vincent; Breton, Régis; … - 2016
We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal amount. The model endogenously generates a situation of...
Persistent link: https://www.econbiz.de/10011419845
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The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
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International financial integration, crises, and monetary policy : evidence from the Euro area interbank crises international financial integration, crises, and monetary policy : e...
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2017 - This version: July, 2017
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of...
Persistent link: https://www.econbiz.de/10011704823
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Winter is possibly not coming : mitigating financial instability in an agent-based model with interbank market
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2019
We develop a macroeconomic agent-based model to study how financial instability can emerge from the co-evolution of interbank and credit markets and the policy responses to mitigate its impact on the real economy. The model is populated by heterogenous firms, consumers, and banks that locally...
Persistent link: https://www.econbiz.de/10011999716
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2016
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 …
Persistent link: https://www.econbiz.de/10011478534
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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