Relationship Lending in the Interbank Market and the Price of Liquidity

DOI10.1093/rof/rfw042zbMath1402.91839OpenAlexW188853544MaRDI QIDQ4555628

Falko Fecht, Falk Bräuning

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfw042

zbMATH Keywords

financial crisisinterbank marketfinancial contagioncentral counterpartyrelationship lending

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (9)

Contagion accounting in stress-testing ⋮ A dynamic network model of the unsecured interbank lending market ⋮ Dynamic interbank network analysis using latent space models ⋮ Do banks change their liquidity ratios based on network characteristics? ⋮ Interbank borrowing and lending between financially constrained banks ⋮ Estimating the money market microstructure with negative and zero interest rates ⋮ The formation of a core-periphery structure in heterogeneous financial networks ⋮ Interbank market friction-induced holdings of precautionary liquidity: implications for bank loan supply and monetary policy implementation ⋮ SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE

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