The Resource A dynamic network model of the unsecured interbank lending market, by Francisco Blasques, Falk Bräuning and Iman van Lelyveld

A dynamic network model of the unsecured interbank lending market, by Francisco Blasques, Falk Bräuning and Iman van Lelyveld

Label
A dynamic network model of the unsecured interbank lending market
Title
A dynamic network model of the unsecured interbank lending market
Statement of responsibility
by Francisco Blasques, Falk Bräuning and Iman van Lelyveld
Creator
Contributor
Subject
Language
eng
Summary
"We introduce a structural dynamic network model of the formation of lending relationships in the unsecured interbank market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash bargain about loan conditions. To reduce credit risk uncertainty, banks can engage in costly peer monitoring of counterparties. We estimate the structural model parameters by indirect inference using network statistics of the Dutch interbank market from 2008 to 2011. The estimated model explains the high sparsity and stability of the lending network. In particular, peer monitoring and credit risk uncertainty are key factors in the formation of stable interbank lending relationships that are associated with improved credit conditions. Moreover, the estimated degree distribution of the lending network is highly skewed with a few very interconnected core banks and many peripheral banks that trade mainly with core banks/ Shocks to credit risk uncertainty can lead to extended periods of low market activity, amplified by a reduction in peer monitoring. Finally, our monetary policy analysis shows that a wider interest rate corridor leads to a more active market through a direct effect on the outside options and an indirect multiplier effect by increasing banks' monitoring and search efforts"--Abstract
Member of
Cataloging source
UNBCA
http://library.link/vocab/creatorName
Blasques, Francisco
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Bräuning, Falk
  • Lelyveld, Iman van
  • Bank for International Settlements
Series statement
BIS working papers,
Series volume
no. 491
http://library.link/vocab/subjectName
  • Interbank market
  • Bank loans
  • Interest rates
  • Banks and banking
  • Monetary policy
Label
A dynamic network model of the unsecured interbank lending market, by Francisco Blasques, Falk Bräuning and Iman van Lelyveld
Instantiates
Publication
Note
  • "February 2015."
  • Includes abstract
Bibliography note
Includes bibliographical references
Contents
Introduction -- Stylized facta and related literature -- The interbank network model. Liquidity shocks ; Counterparty risk uncertainty ; Bargaining and equilibrium interest rates ; Peer monitoring, counterparty selection and transaction volumes ; Profit maximization and optimal dynamic monitoring and search -- Parameter estimation. Auxiliary statistics and indirect inference ; Data description ; Estimation results -- Model analysis. Comparison of auxiliary statistics ; Comparative statics of network structures ; Bank heterogeneity and lending relationships ; Dynamic responses to credit risk uncertainty shocks ; Monetary policy analysis : the interest corridor width multiplier -- Conclusion
Control code
ocn909772127
Dimensions
30 cm
Extent
51 p.
Other physical details
ill. (some colour)
System control number
(OCoLC)909772127
Label
A dynamic network model of the unsecured interbank lending market, by Francisco Blasques, Falk Bräuning and Iman van Lelyveld
Publication
Note
  • "February 2015."
  • Includes abstract
Bibliography note
Includes bibliographical references
Contents
Introduction -- Stylized facta and related literature -- The interbank network model. Liquidity shocks ; Counterparty risk uncertainty ; Bargaining and equilibrium interest rates ; Peer monitoring, counterparty selection and transaction volumes ; Profit maximization and optimal dynamic monitoring and search -- Parameter estimation. Auxiliary statistics and indirect inference ; Data description ; Estimation results -- Model analysis. Comparison of auxiliary statistics ; Comparative statics of network structures ; Bank heterogeneity and lending relationships ; Dynamic responses to credit risk uncertainty shocks ; Monetary policy analysis : the interest corridor width multiplier -- Conclusion
Control code
ocn909772127
Dimensions
30 cm
Extent
51 p.
Other physical details
ill. (some colour)
System control number
(OCoLC)909772127

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