Arbeitspapier
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form preferential relationships via an elementary reinforcement learning algorithm. As it turns out, the dynamic evolution of this system displays a formation of a core-periphery structure with mainly the largest banks assuming the roles of money center banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank market shares virtually all of the salient characteristics of interbank credit relationship that have been put forthin recent literature. Preferential interest rates for borrowers with strong attachment to a lender may prevent the system from becoming extortionary and guarantee the survival of the small peripherical banks.
- Sprache
-
Englisch
- Erschienen in
-
Series: FinMaP-Working Paper ; No. 3
- Klassifikation
-
Wirtschaft
Network Formation and Analysis: Theory
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Thema
-
liquidity
interbank market
network formation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lux, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
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Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Lux, Thomas
- Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Entstanden
- 2014
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