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Under the view that the market is a weighted and directed network (Barabási, 2003), this document is a first attempt to model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing...
Persistent link: https://www.econbiz.de/10010764991
Under the view that the market is a weighted and directed network, we model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing (i.e. sell/buy backs) among Colombian financial...
Persistent link: https://www.econbiz.de/10013058407
Persistent link: https://www.econbiz.de/10011704901
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As …
Persistent link: https://www.econbiz.de/10010393220
This paper studies segmentation and efficiency of the interbank market in Kenya. The study utilizes network framework … and case studies of countries with developed interbank markets, namely the UK, EU and the US. Using daily data for the … period June 2003 to September 5 2012, the study finds that Kenya's interbank market is incomplete and highly segmented by …
Persistent link: https://www.econbiz.de/10012801990
methodology as a tool to study the characteristics and properties of the Interbank Payment System (SPI) in Ecuador. We establish …
Persistent link: https://www.econbiz.de/10012659017
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks’ value-at-risk (VaR). Motivated by the evidence, we explore a contracting model that...
Persistent link: https://www.econbiz.de/10011171761
the bank uses in lending to business firms, namely loan maturity, collateral and loan interest rate. Based upon the …-directional relationships between collateral and loan maturity, loan rate and loan maturity, and a uni-directional relationship between loan … rate and collateral. The conflicting signs within the collateral–loan maturity relationship and the loan interest rate …
Persistent link: https://www.econbiz.de/10010284672
in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood …, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning …
Persistent link: https://www.econbiz.de/10011296085
Repo markets trade off the efficient allocation of liquidity in the financial sector with resilience to funding shocks. The repo trading and clearing mechanisms are crucial determinants of the allocation-resilience tradeoff. The two common mechanisms, anonymous central-counterparty (CCP) and...
Persistent link: https://www.econbiz.de/10012487590