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Monetary policy and liquidity management with an endogenous interbank network

Carpizo, Luiz; Hiller, Timo - 2022

network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … lines. Then, we endogenize the network and show that every equilibrium network is a complete coreperiphery graph. Central … accounting for banks' endogenous linking decisions, a narrower corridor may lead to a sparser interbank network with higher …

Persistent link: https://www.econbiz.de/10013440018

Monetary policy implementation in an interbank network : effects on systemic risk

Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter - 2014

microfounded network model with endogenous network formation to analyze the impact of central banks' monetary policy interventions …

Persistent link: https://www.econbiz.de/10010337579

Network structure and fragmentation of the Argentinean interbank markets

Elosegui, Pedro; Forte, Federico D.; Montes-Rojas, Gabriel - 2021

This paper studies the network structure and fragmentation of the Argentine interbank market. Both the unsecured (CALL … its potential implications for monetary policy and financial stability. Applying network analysis, different underlying …

Persistent link: https://www.econbiz.de/10012802027

Network structure and fragmentation of the Argentinean interbank markets

Elosegui, Pedro; Forte, Federico D.; Montes-Rojas, Gabriel - In: Latin American journal of central banking : LAJCB 3 (2022) 3, pp. 1-17

This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL …) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured …

Persistent link: https://www.econbiz.de/10013393419

Winter is possibly not coming : mitigating financial instability in an agent-based model with interbank market

Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2019

We develop a macroeconomic agent-based model to study how financial instability can emerge from the co-evolution of interbank and credit markets and the policy responses to mitigate its impact on the real economy. The model is populated by heterogenous firms, consumers, and banks that locally...

Persistent link: https://www.econbiz.de/10011999716

Cross-Border Interbank Liquidity, Crises, and Monetary Policy

Abbassi, Puriya - 2020

We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of...

Persistent link: https://www.econbiz.de/10012856315

The network nature of over-the-counter interest rates

Rainone, Edoardo - In: Journal of financial markets 47 (2020), pp. 1-51

Persistent link: https://www.econbiz.de/10012631767

Bank Demand for Central Bank Liquidity : The Impact of Bid Shading and Interbank Markets

Xiao, Di - 2017

impact of monetary policy on banks located in the core and the periphery of the interbank network are different, giving rise …

Persistent link: https://www.econbiz.de/10012942541

Frictions in the interbank market and uncertain liquidity needs : implications for monetary policy implementation

Bucher, Monika; Hauck, Achim; Neyer, Ulrike - 2014

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is implemented, frictions in the interbank market may reinforce the effectiveness of monetary policy. The frictions imply that with its lending and deposit facilities the central...

Persistent link: https://www.econbiz.de/10010252806

Frictions in the interbank market and uncertain liquidity needs : implications for monetary policy implementation

Bucher, Monika; Hauck, Achim; Neyer, Ulrike - 2014 - [rev.]

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is implemented, frictions in the interbank market may reinforce the effectiveness of monetary policy. These frictions imply that with its lending and deposit facilities the central...

Persistent link: https://www.econbiz.de/10010384796