A dynamic network model of the unsecured interbank lending market

DOI10.1016/j.jedc.2018.03.015zbMath1401.91542OpenAlexW3123019746MaRDI QIDQ1657330

Francisco Blasques, Falk Bräuning, Iman van Lelyveld

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/be0c2da8-f1a3-48ab-9f1f-0a6c080ea743

zbMATH Keywords

monitoringfinancial networkscredit-risk uncertaintyindirect inference estimationinterbank liquiditytrading relationships

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Credit risk (91G40)

Related Items (4)

Constructing banking networks under decreasing costs of link formation ⋮ The dynamic factor network model with an application to international trade ⋮ Dynamic interbank network analysis using latent space models ⋮ Intermediaries' substitutability and financial network resilience: a hyperstructure approach

Cites Work

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• Kalman Filtering with Random Coefficients and Contractions
• Bank Runs, Deposit Insurance, and Liquidity
• Dynamic General Equilibrium Modelling
• Latent Space Approaches to Social Network Analysis
• GMM with Weak Identification
• Relationship Lending in the Interbank Market and the Price of Liquidity
• Network topology of the interbank market
• Trade Dynamics in the Market for Federal Funds
• Over-the-Counter Markets

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