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Credit market competition and liquidity crises
Elena, Carletti; Leonello, Agnese - 2014
We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity shortage sell loans on the interbank market. Two equilibria emerge. In the no default equilibrium, all banks hold enough reserves and remain solvent. In the mixed equilibrium,...
Persistent link: https://www.econbiz.de/10010249670
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Intraday volatility, trading volume and trading intensity in the interbank market e-MID
Engler, Markus; Jeleskovic, Vahidin - 2016
We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...
Persistent link: https://www.econbiz.de/10011578147
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Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
Bartolini, Leonardo - 2006
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...
Persistent link: https://www.econbiz.de/10012735689
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Friction-induced interbank rate volatility under alternative interest corridor systems
Link, Thomas; Neyer, Ulrike - 2017
This paper proposes rules for the control of interbank rate volatility under different interest corridor systems when volatility stems from interbank market frictions. Friction-induced volatility will occur if there is heterogeneity in two dimensions (across banks and time) with respect to the...
Persistent link: https://www.econbiz.de/10011684762
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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
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The impact of uncertainty and certainty shocks
Schüler, Yves S. - 2020
's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future … real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing … that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying …
Persistent link: https://www.econbiz.de/10012180723
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The effect of heterogeneuous wage contracts on macroeconomic volatility in a financially fragile economy
Kim, Jongheuk - In: East Asian economic review 21 (2017) 2, pp. 167-197
cost. As a result of impulse responses to a domestic productivity shock, the higher elasticity of substitution between two …
Persistent link: https://www.econbiz.de/10011765066
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Precautionary reserves and the interbank market
Ashcraft, Adam B.; McAndrews, James Joseph; Skeie, David - 2009
Liquidity hoarding by banks and extreme volatility of the fed funds rate have been widely seen as severely disrupting the interbank market and the broader financial system during the 2007-08 financial crisis. Using data on intraday account balances held by banks at the Federal Reserve and...
Persistent link: https://www.econbiz.de/10003864507
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Precautionary Reserves and the Interbank Market
Ashcraft, Adam B. - 2009
Liquidity hoarding by banks and extreme volatility of the fed funds rate have been widely seen as severely disrupting the interbank market and the broader financial system during the 2007-08 financial crisis. Using data on intraday account balances held by banks at the Federal Reserve and...
Persistent link: https://www.econbiz.de/10013159666
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Housing market dynamics : on the contribution of income shocks and credit constraints
Ortalo-Magné, François; Rady, Sven - 2001
This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households …
Persistent link: https://www.econbiz.de/10011398664