Explaining breakdowns in interbank lending: A bilateral bargaining model

The paper provides a simple model for interbank loans. Since interbank trades are usually over-the-counter transactions, we use a bilateral bargaining model and apply the Nash bargaining solution. We determine the threat points and the bargaining frontier of debtor and creditor banks. We ask under which conditions interbank lending will break down.

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Year of publication:	2014
Authors:	Vollmer, Uwe ; Wiese, Harald
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 3, p. 247-253
Publisher:	Elsevier
Subject:	Interbank lending \| Nash bargaining solution

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Type of publication:	Article
Classification:	C71 - Cooperative Games ; C78 - Bargaining Theory; Matching Theory ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010940023