Arbeitspapier
Multiple equilibrium overnight rates in a dynamic interbank market game
We analyse a two period model of the interbank market, i.e. the market at which banks trade liquidity. We assume that banks do not take the inter- bank interest rate as given, but multilaterally negotiate on interest rates and transaction volumes. The solution concept applied is the Shapley value. We show that there is a multiplicity of average equilibrium interest rates of the first period so that the average interest rate in this period does not convey any information on the expected liquidity situation at the interbank market.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2003,04
- Klassifikation
-
Wirtschaft
- Thema
-
Geldmarkt
Bankenliquidität
Zins
Verhandlungstheorie
Shapley-Wert
Dynamisches Gleichgewicht
Theorie
multiple equiibria
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tapking, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Tapking, Jens
- Deutsche Bundesbank
Entstanden
- 2003
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