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Network risk and key players: a structural analysis of Interbank Liquidity

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Bibliographic Details
Other Authors: Julliard, Christian [Author] • Li, Ye [Author] • Yuan, Kathy [Author]
Type of Resource: E-Book
Language: English
[Columbus, Ohio] The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics [2018]
Series: Ohio State University: Fisher College of Business working paper series ; WP 2018, 11
Ohio State University: Fisher College of Business working paper series ; WP 2018-03-011
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: 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 substitutes. The former arises when payment velocity is high and payments begets payments. The latter prevails when the opportunity cost of liquidity is large, incentivising banks to borrow neighbors' reserves instead of holding their own. Consequently, the network can amplify or dampen individual shocks. Empirically, network topology explains cross-sectional heterogeneity in banks' contribution to systemic risks while changes in the equilibrium type drive the time-series variation
Physical Description: 1 Online-Ressource (circa 63 Seiten); Illustrationen
DOI: 10.2139/ssrn.2884461