Blasques, Francisco
[VerfasserIn]
;
Bräuning, Falk
[Sonstige Person, Familie und Körperschaft];
van Lelyveld, Iman
[Sonstige Person, Familie und Körperschaft]
A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market
Erschienen in:SWIFT Institute Working Paper ; No. 2012-007
Umfang:
1 Online-Ressource (51 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2390828
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 24, 2014 erstellt
Beschreibung:
This paper introduces a structural micro-founded dynamic stochastic network model for the unsecured interbank lending market. Banks are profit optimizing agents subject to random liquidity shocks and can engage in costly counterparty search to find suitable trading partners and peer monitoring to reduce counterparty risk uncertainty. The structural parameters are estimated by indirect inference using appropriate network statistics of the Dutch interbank market. The estimated model is shown to explain accurately important dynamic features of the interbank market network. In particular, monitoring of counterparty risk and directed search are shown to be key factors in the formation of interbank trading relationships that are associated with improved credit conditions. Finally, the model is used to filter the optimal search and monitoring expenditures in the network and to analyze optimal network responses to changes in the policy of the central bank