全球智库信息集成服务系统(G2TT): DP7762 Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7762
	DP7762 Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk
	Florian Heider; Cornelia Holthausen; Marie Hoerova
发表日期	2010-03-28
出版年	2010
语种	英语
摘要	We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks' asset risk affects funding liquidity in the interbank market. Several interbank market regimes can arise: i) normal state with low interest rates; ii) turmoil state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an explanation for observed developments in the interbank market before and during the 2007-09 financial crisis (dramatic increases of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central banks to restore interbank activity). We use the model to discuss various policy responses.
主题	Financial Economics
关键词	Asymmetric information Counterparty risk Financial crisis Interbank market Liquidity
URL	https://cepr.org/publications/dp7762
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/536599
推荐引用方式 GB/T 7714	Florian Heider,Cornelia Holthausen,Marie Hoerova. DP7762 Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk. 2010.