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Results 1 - 10
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109
Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank
, 1999
"... We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system to ..."
Abstract
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Cited by 203 (11 self)
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We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system
Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank ¤
, 1998
"... We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system to ..."
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We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system
Overnight Interbank Loan Markets
- Journal of Economics & Business
, 2006
"... members of the Open Market Desk, the reserve managers of several large banks, and the research assistance of Heather Wiggins and Shawn Liu. The views expressed are those of the authors and not necessarily those of the Board of Governors of the Federal Reserve System or others of its staff. Overnight ..."
Abstract
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Cited by 12 (0 self)
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represented by brokered fed funds has decreased and is now only about one-third of the total. We also show evidence of close but incomplete arbitrage among the major segments of the overnight interbank market, though the specific calendar-day patterns of spreads and volatilities have evolved relative
Interbank Lending, Collateral, and
, 2008
"... Abstract. A standard repo contract between two commercial banks is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and the welfare implications of the central bank’s collateral framework. As an important innovation, we assume that not only the ca ..."
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the cash borrower, but also the cash lender may default. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on the market developments in the second half of the year 2007. JEL classification: G21, G32, E51.
2000, The Swiss Interbank Clearing System
- Swiss National Bank Payment System Subsection
"... At its introduction in 1987 the Swiss Interbank Clearing System (SIC) was one of the firstReal-TimeGrossSettlement(RTGS)systems. In the wake of central banks ’ increasing interest in the architecture and the risk implications of payment systems SIC has received much attention in professional discuss ..."
Abstract
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Cited by 1 (0 self)
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At its introduction in 1987 the Swiss Interbank Clearing System (SIC) was one of the firstReal-TimeGrossSettlement(RTGS)systems. In the wake of central banks ’ increasing interest in the architecture and the risk implications of payment systems SIC has received much attention in professional
Interbank exposures and systemic risk1
"... Sweden underwent a severe banking crisis in the early 1990s. One of the lessons drawn was that the authorities were ill-prepared to deal with this type of situation, with regard to both crisis management and crisis prevention. After the crisis, in the mid-1990s, the Riksbank started to develop a new ..."
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system will most likely carry substantial socio-economic costs. Secondly, the financial system, especially the banking system, is vulnerable to external shocks. Basically, depositors relate this to the fact that banks fund illiquid loans with liquid deposits, which makes them vulnerable to loss
Why Do We Have an Interbank Money Market?
"... This paper presents an interbank market model with a heterogeneous banking sector. We show that banks participate in the interbank market because they differ in marginal costs of obtaining funds from the European Central Bank. Our model shows that this heterogeneity implies intermediation by banks w ..."
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with relatively low marginal costs. The resulting positive spread between the interbank market rate and the central bank rate is determined by transaction costs in the interbank market, total liquidity needs of the banking sector, costs of obtaining funds from the central bank, and the distribution of the latter
Interbank Hedging and Systemic Risk: The Role of Renegotiation Breakdowns ∗
, 2008
"... Banks use over-the-counter derivative (OTCD) contracts for sharing the risks of their asset streams. OTCDs are composed of an optimal combination of interbank loans, asset swaps and credit default swaps (CDS). The settlement of ex-post realized claims are renegotiated by participating banks after de ..."
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to an inefficient liquidation policy (system-wide runs) even though we allow mergers among them to potentially internalize the positive externality. Interbanks loans and CDS contracts have relatively lower incentive costs than swaps, but the former has the largest distress costs without renegotiations
Part 4: The Payments System and the Market for Interbank Funds
"... he two papers in a session on systemic issues in the federal funds market examined the interbank payments system and the market for borrowing funds used to settle interbank payments. Both analyses were based on data on payments made through the Federal Reserve’s Fedwire system. Fedwire—the nation’s ..."
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he two papers in a session on systemic issues in the federal funds market examined the interbank payments system and the market for borrowing funds used to settle interbank payments. Both analyses were based on data on payments made through the Federal Reserve’s Fedwire system. Fedwire—the nation’s
An economic model of contagion in interbank lending markets An economic model of contagion in interbank lending markets
"... Abstract This paper examines the relationship between the structure of the interbank lending market and systemic risk. We consider a model in which banks finance investment opportunities through household deposits and borrowing from other banks. Using simulation techniques a range of interbank mark ..."
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Abstract This paper examines the relationship between the structure of the interbank lending market and systemic risk. We consider a model in which banks finance investment opportunities through household deposits and borrowing from other banks. Using simulation techniques a range of interbank
Results 1 - 10
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109
