Relationship lending during a trust crisis on the interbank market: A friend in need is a friend indeed
Sign Up to like & getrecommendations! Published in 2019 at "Economics Letters"
DOI: 10.1016/j.econlet.2019.03.019
Abstract: We exploit uncertainty regarding banks' involvement in money laundering activities as a natural experiment to study the functioning of the interbank market in uncertain times. We show that bank couples with a stronger relationship (i.e.,… read more here.
Keywords: interbank; interbank market; relationship lending; crisis ... See more keywords
Implicit rating: A potential new method to alert crisis on the interbank lending market
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2016.11.010
Abstract: A new measure called “implicit rating” is introduced as a potential component of an early warning system. It relies on the aggregation of experts’ knowledge hidden in transactional data of the interbank market of unsecured… read more here.
Keywords: rating potential; market; interbank; implicit rating ... See more keywords
The role of the reference rate in an interbank market with imperfect information
Sign Up to like & getrecommendations! Published in 2017 at "Global Finance Journal"
DOI: 10.1016/j.gfj.2017.03.005
Abstract: This study investigates the potential role of the reference rate in an interbank market where individual banks cannot fully identify the nature of underlying shocks affecting their interbank transactions. We find that the reference rate… read more here.
Keywords: reference rate; role reference; market; rate ... See more keywords
Network risk and key players: A structural analysis of interbank liquidity
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.05.010
Abstract: Abstract Using a structural model, we estimate the liquidity multiplier of an interbank network and banks’ contributions to systemic risk. To provide payment services, banks hold reserves. Their equilibrium holdings can be strategic complements or… read more here.
Keywords: interbank; network risk; liquidity; network ... See more keywords
Epidemics of liquidity shortages in interbank markets
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.05.104
Abstract: Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB… read more here.
Keywords: shortages interbank; liquidity shortages; liquidity; interbank markets ... See more keywords
Financial Contagion in the Laboratory: Does Network Structure Matter?
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Money, Credit and Banking"
DOI: 10.1111/jmcb.12563
Abstract: We design and report on laboratory experiments exploring the role of interbank network structure for the likelihood of a financial contagion. The laboratory provides us with the control necessary to precisely explore the role of… read more here.
Keywords: network structure; network; interbank; laboratory ... See more keywords
Interbank Offered Rate Based on Artificial Intelligence Algorithm
Sign Up to like & getrecommendations! Published in 2021 at "Mathematical Problems in Engineering"
DOI: 10.1155/2021/9931539
Abstract: Interbank offer rate is the interest rate at which banks lend money to each other in the money market. As a market-oriented core interest rate, Shibor can accurately and timely reflect the capital supply and… read more here.
Keywords: market; overnight shibor; model; rate ... See more keywords
Interbank Network Topology in the Agent-based Model of Banking System
Sign Up to like & getrecommendations! Published in 2018 at "HSE Economic Journal"
DOI: 10.17323/1813-8691-2018-22-3-387-417
Abstract: The study analyzes the topology of the interbank network in the agent-based model of the banking system with detailed description of the protocols and stylized one of the external (with respect to the banking system)… read more here.
Keywords: banking system; topology; model; interbank ... See more keywords