Counterparty choice, maturity shifts and market freezes: lessons from the European interbank market

DOI10.1016/J.JEDC.2024.104819MaRDI QIDQ6558575

Susanna Saroyan

Publication date: 19 June 2024

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

zbMATH Keywords

counterparty riskliquidity riskinterbank networksinterbank marketsrelationship lendingmaturity shift

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A network analysis of the Italian overnight money market
• The role of bank relationships in the interbank market
• A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
• Inferring trading dynamics for an OTC market: the case of the euro area overnight money market
• Systemic Risk in Financial Systems
• Relationship Lending in the Interbank Market and the Price of Liquidity

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