Uncertain liquidity and interbank contracting
نویسندگان
چکیده
منابع مشابه
Epidemics of Liquidity Shortages in Interbank Markets
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, here we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation between banks, and validate it on electronic market for interbank deposits data. We sho...
متن کاملDiscussion of “Liquidity, Moral Hazard, and Interbank Market Collapse”
Financial intermediaries, such as banks, perform many roles: they screen risks, evaluate and fund worthy entrepreneurs, pool risks, monitor borrowers, refinance projects, and—when confronted with the default in their loans—they perform a valuable role in loss discovery and assessing whether the bankrupt concern is economically viable or not. All these activities, which constitute the actions of...
متن کاملThe Impact of Liquidity Requirements on Central Bank Policies in Interbank Market of Iran
The interbank rate has a great impact on the bank's economic activities that it is one of the important instrument for central bank policy. Banks to back up their funds or liquidity demand participate in the interbank market. These change their needed or surplus liquidity based on interbank market conditions. According to this, liquidity requirements can change the central banks' monetary poli...
متن کاملA Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning
We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels so as to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and faces idiosyncratic risks characterized by an independent Brownian motion; whereas system wide, the banks form a hierarchical structure...
متن کاملRisk Sensitivity of Banks, Interbank Markets and the Effects of Liquidity Regulation
The industrial organization approach to banking is extended to analyze the effects of interbank market activity and regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were risk averse in an environment whe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 1994
ISSN: 0165-1765
DOI: 10.1016/0165-1765(93)00350-w