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- Camilo GOnzález & Luisa Silva & Carmiña Vargas & Andrés Velasco (2013): Uncertainty in the Money supply mechanism and interbank markets in Colombia
We set a dynamic stochastic model for the interbank daily market for funds in Colombia. ... Analytical derivations of their decision making process show that banks involvement in the interbank market and open market operations depend on their individual requirement constraint and daily liquid assets. Our results do not show a linkage between the uncertainty in the money supply mechanism and activity in the interbank market. Equilibrium interest rate for the interbank market is derived, and is shown that it is distorted by uncertainty at the daily auction held by the monetary authority. Using data for Colombia, we test the main results of the model and corroborate the Martingale hypothesis for the interbank interest rate.
RePEc:bdr:borrec:790 Save to MyIDEAS - Carrera, Cesar & Vega, Hugo (2012): Interbank Market and Macroprudential Tools in a DSGE Model
The interbank market helps regulate liquidity in the banking sector. ... Regulating the interbank market may actually benefit the policy stance of monetary policy. Introducing an interbank market in a general equilibrium model may allow better identification of the final effects of non-conventional policy tools such as reserve requirements. We introduce an interbank market in which there are two types of private banks and a central bank that has the ability to issue money into a DSGE model.
RePEc:rbp:wpaper:2012-014 Save to MyIDEAS - Andrievskaya, Irina & Semenova, Maria (2013): Market discipline and the Russian interbank market
The interbank market plays an important role in the overall function of the financial system. The efficiency of the interbank market, in turn, depends largely on its inherent disciplining mechanisms. This paper investigates the discipline mechanisms of Russia's interbank market, testing the hypothesis that market discipline in Russia was strong enough to constrain excessive risk-taking by participating banks before, during, and after the 2008- 2009 financial crisis. The existence of quantity-based market discipline is investigated using Heckman's sample selection model and the efficiency of market discipline is studied with a panel data model. Our approach detects market discipline only during the financial crisis, not before or after.
RePEc:zbw:bofitp:bdp2013_029 Save to MyIDEAS - Eross, Andrea & Urquhart, Andrew & Wolfe, Simon (2016): Liquidity risk contagion in the interbank market
This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR–OIS spread, euro fixed-float OIS swap rate and the three-month US-German bond spread and discover strong evidence of structural innovations affecting the interbank market. We find that when the short-term interbank market is affected by a liquidity shock, the LIBOR–OIS spread is a leader in moving back to equilibrium, while the euro-dollar currency swap rate and the US-German bond spreads are followers. ... However, structural breaks identified as prospective financial crises affect the long-run relationships and liquidity shocks drive interbank rates and spread fluctuations. Therefore, liquidity shocks propagating within the interbank market can forecast benchmark interest movements, and ultimately this has significant implications for policy-makers and market players alike.
RePEc:eee:intfin:v:45:y:2016:i:c:p:142-155 Save to MyIDEAS - Celso Brunetti & Jeffrey H. Harris & Shawn Mankad & George Michailidis (2015): Interconnectedness in the Interbank Market
We study the behavior of the interbank market before, during and after the 2008 financial crisis. Leveraging recent advances in network analysis, we study two network structures, a correlation network based on publicly traded bank returns, and a physical network based on interbank lending transactions.
RePEc:fip:fedgfe:2015-90 Save to MyIDEAS - Michele Manna & Carmela Iazzetta (2009): The topology of the interbank market: developments in Italy since 1990
When a bank defaults or stops trading in the interbank market, both a liquidity shortage in the market itself and mounting trading losses should be anticipated.
RePEc:bdi:wptemi:td_711_09 Save to MyIDEAS - Dr. Lucas Marc Fuhrer & Dr. Matthias Jüttner & Jan Wrampelmeyer & Matthias Zwicker (2021): Reserve tiering and the interbank market
Furthermore, reserve tiering helps maintain sufficient activity in the interbank market, which is key for financial stability and reliable interest rate benchmarks.
RePEc:snb:snbwpa:2021-17 Save to MyIDEAS - Cañón, Carlos & Margaretic, Paula (2014): Correlated bank runs, interbank markets and reserve requirements
We show that the coexistence of a central bank, which determines banks’ reserve requirements, and an interbank market, which redistributes reserves, leads to a smaller probability of a bank run and to fewer inefficient bank runs, relative to the case with no central bank and no interbank market.
RePEc:eee:jbfina:v:49:y:2014:i:c:p:515-533 Save to MyIDEAS - Cappelletti, Giuseppe & Guazzarotti, Giovanni (2017): The role of counterparty risk and asymmetric information in the interbank market
We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of 2011. With the onset of the crisis, interest rates in the Italian interbank market soared and foreign lending decreased significantly.
RePEc:ecb:ecbwps:20172022 Save to MyIDEAS - Camilo González & Luisa Silva & Carmiña Vargas & Andrés M. Velasco (2013): Uncertainty in the Money supply mechanism and interbank markets in Colombia
We set a dynamic stochastic model for the interbank daily market forfunds in Colombia. The framework features exogenous reserve requirements and requirement period, competitive trading among heterogeneouscommercial banks, daily open market operations held by the Central Bank(auctions and window facilities), and idiosyncratic demand shocks anduncertainty in the daily auction. Analytical derivations of their decisionmaking process show that banks involvement in the interbank market andopen market operations depend on their individualrequirement constraintand daily liquid assets. ... Equilibrium interest rate for the interbank market is derived,and is shown that it is distorted by uncertainty at the daily auction heldby the monetary authority.
RePEc:col:000094:011094 Save to MyIDEAS