| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8705 |
| DP8705 A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets | |
| Viral Acharya; David Skeie | |
| 发表日期 | 2011-12-04 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank transactions, such as in one-month and three-month LIBOR markets. We provide an explanation of such stress in term lending by modelling leveraged banks? precautionary demand for liquidity. When adverse asset shocks materialize, a bank?s ability to roll over debt is impaired because of agency problems associated with high leverage. In turn, a bank?s propensity to hoard liquidity is increasing, or conversely its willingness to provide term lending is decreasing, in its rollover risk over the term of the loan. High levels of short-term leverage and illiquidity of assets can thus lead to low volumes and high rates for term borrowing, even for banks with profitable lending opportunities. In extremis, there can be a complete freeze in inter-bank markets. |
| 主题 | Financial Economics |
| 关键词 | Interbank market Bank liquidity Financial leverage Risk management Debt Bank loans |
| URL | https://cepr.org/publications/dp8705 |
| 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/537563 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,David Skeie. DP8705 A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets. 2011. |
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