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- Marius Jurgilas (2006): Interbank Markets under Currency Boards
This paper analyzes interbank markets under currency boards. ... Using daily data from the interbank markets in Bulgaria and Lithuania we show, that contrary to the existing literature, overnight interest rates tend to decrease towards the end of the reserve holding period. ... Results contrast with Quir'os and Mendiz'abal (2006) who find that interest rates should be increasing regardless of the outstanding aggregate liquidity in the market.
RePEc:uct:uconnp:2006-19 Save to MyIDEAS - Allen, Franklin & Covi, Giovanni & Gu, Xian & Kowalewski, Oskar & Montagna, Mattia (2020): The interbank market puzzle
This study documents significant differences in the interbank market lending and borrowing levels across countries. We argue that the existing differences in interbank market usage can be explained by the trust of the market participants in the stability of the country’s banking sector and counterparties, proxied by the history of banking crises and failures. Specifically, banks originating from a country that has lower level of trust tend to have lower interbank borrowing. Using a proprietary dataset on bilateral exposures, we investigate the Euro Area interbank network and find the effect of trust relies on the network structure of interbank markets. Core banks acting as interbank intermediaries in the network are more significantly influenced by trust in obtaining interbank funding, while being more exposed in a community can mitigate the negative effect of low trust.
RePEc:boe:boeewp:0862 Save to MyIDEAS - Allen, Franklin & Covi, Giovanni & Gu, Xian & Kowalewski, Oskar & Montagna, Mattia (2020): The interbank market puzzle
This study documents significant differences in the interbank market lending and borrowing levels across countries. We argue that the existing differences in interbank market usage can be explained by the trust of the market participants in the stability of the country’s banking sector and counterparties, proxied by the history of banking crises and failures. Specifically, banks originating from a country that has lower level of trust tend to have lower interbank borrowing. Using a proprietary dataset on bilateral exposures, we investigate the Euro Area interbank network and find the effect of trust relies on the network structure of interbank markets. Core banks acting as interbank intermediaries in the network are more significantly influenced by trust in obtaining interbank funding, while being more exposed in a community can mitigate the negative effect of low trust.
RePEc:ecb:ecbwps:20202374 Save to MyIDEAS - Douglas D. Davis & Oleg Korenok & John P. Lightle (2019): An experimental examination of interbank markets
We use experimental methods to evaluate a simplified interbank market. The design is a laboratory adaptation of the analysis of interbank market fragility by Allen and Gale (J Eur Econ Assoc 2:1015–1048), and features symmetric banks who allocate deposit endowments between cash and illiquid assets prior to the incidence of a shock. ... Consistent with Allen and Gale, we find that while interbank trading substantially increases investment activity, the markets are frequently characterized by price variability and a stochastic distribution of investment outcomes.
RePEc:kap:expeco:v:22:y:2019:i:4:d:10.1007_s10683-018-9595-y Save to MyIDEAS - Tarishi Matsuoka (2010): Liquidity, Interbank Market, and Capital Formation
This paper presents a monetary model that links interbank markets to capital accumulation and growth. The purpose of this paper is to study how interbank markets affect real economic activities, and to find the monetary policy implications. The model shows that, in a stationary equilibrium, the economy with interbank markets attains higher capital stock than the economy without the markets, because of precautionary money savings. In addition, I find that inflationary policy is more desirable in the economy without well-functioning interbank markets.
RePEc:kyo:wpaper:704 Save to MyIDEAS - Memmel, Christoph & Sachs, Angelika & Stein, Ingrid (2011): Contagion at the interbank market with stochastic LGD
This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with data about interbank exposures.
RePEc:zbw:bubdp2:201106 Save to MyIDEAS - Allen, Franklin & Covi, Giovanni & Gu, Xian & Kowalewski, Oskar & Montagna, Mattia (2022): Trust and the Interbank Market Puzzle
This study documents significant differences in the size of interbank markets across countries. ... Banks from a country with lower trust tend to have lower interbank borrowing. Using a proprietary dataset on bilateral exposures, we investigate the Euro Area interbank network and find the effect of trust relies on the interbank network structure.
RePEc:cpr:ceprdp:17263 Save to MyIDEAS - Paweł Kopiec (2018): Interbank market turmoils and the macroeconomy
This paper studies the macroeconomic consequences of interbank market disruptions caused by higher counterparty risk. I propose a novel, dynamic model of banking sector where banks trade liquidity in the frictional OTC market à la Afonso and Lagos (2015) that features counterparty risk. The model is then embedded into an otherwise standard New Keynesian framework to analyze the macroeconomic impact of interbank market turmoils: economy suffers from a prolonged slump and deflationary pressure during such episodes. I use the model to analyze the effectiveness of two policy measures: rise in the supply of central bank reserves and interbank market guarantees in mitigating the adverse effects of those disruptions.
RePEc:nbp:nbpmis:280 Save to MyIDEAS - Jonathan Chiu & Jens Eisenschmidt & Cyril Monnet (2020): Relationships in the Interbank Market
The market for central bank reserves is mainly over-the-counter and exhibits a core-periphery network structure. This paper develops a model of relationship lending in the unsecured interbank market. Banks choose to build relationships in order to insure against liquidity shocks and to economize on the cost to trade in the interbank market. ... The model also helps understand how monetary policy affects the network structure of the interbank market and its functioning.
RePEc:red:issued:18-238 Save to MyIDEAS - Kopiec, Pawel (2018): Interbank Market Turmoils and the Macroeconomy
This paper studies the macroeconomic consequences of interbank market disruptions caused by higher counterparty risk. I propose a novel, dynamic model of banking sector where banks trade liquidity in the frictional OTC market à la Afonso and Lagos (2015) that features counterparty risk. The model is then embedded into an otherwise standard New Keynesian framework to analyze the macroeconomic impact of interbank market turmoils: economy suffers from a prolonged slump and deflationary pressure during such episodes. I use the model to analyze the effectiveness of two policy measures: rise in the supply of central bank reserves and interbank market guarantees in mitigating the adverse effects of those disruptions.
RePEc:pra:mprapa:85028 Save to MyIDEAS