Arbeitspapier
Systemic illiquidity in the interbank network
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a model in which systemic illiquidity propagates in the interbank funding network over multiple days. In this setting, systemic illiquidity is minimised by a macroprudential policy that skews the distribution of liquid assets towards banks that are important in the network.
- ISBN
-
978-92-9472-054-2
- Sprache
-
Englisch
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 86
- Klassifikation
-
Wirtschaft
Network Formation and Analysis: Theory
Financial Markets and the Macroeconomy
Central Banks and Their Policies
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Systemic risk
liquidity regulation
macroprudential policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ferrara, Gerardo
Langfield, Sam
Liu, Zijun
Ota, Tomohiro
- Ereignis
-
Veröffentlichung
- (wer)
-
European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- DOI
-
doi:10.2849/710467
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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
- Ferrara, Gerardo
- Langfield, Sam
- Liu, Zijun
- Ota, Tomohiro
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2018
Ähnliche Objekte (12)
Monetary policy implementation in an interbank network: Effects on systemic risk
Systemic risk in the Danish interbank netting system
Systemic risk in a network model of interbank markets with central bank activity
Revisiting the link between systemic risk and competition based on network theory and interbank exposures
Interbank Overnight Interest Rates - Gains from Systemic Importance
Multi-layered interbank model for assessing systemic risk
Multi-layered interbank model for assessing systemic risk
Network topology of the Argentine interbank money market
Contagion in the interbank network: An epidemiological approach
Harmonic distances and systemic stability in heterogeneous interbank networks
A network view on interbank market freezes
Filling in the blanks: Network structure and interbank contagion
Monetary policy implementation in an interbank network: Effects on systemic risk
Systemic risk in the Danish interbank netting system
Systemic risk in a network model of interbank markets with central bank activity
Revisiting the link between systemic risk and competition based on network theory and interbank exposures
Interbank Overnight Interest Rates - Gains from Systemic Importance
Multi-layered interbank model for assessing systemic risk
Multi-layered interbank model for assessing systemic risk
Network topology of the Argentine interbank money market
Contagion in the interbank network: An epidemiological approach
Harmonic distances and systemic stability in heterogeneous interbank networks
A network view on interbank market freezes
Filling in the blanks: Network structure and interbank contagion
Monetary policy implementation in an interbank network: Effects on systemic risk
Systemic risk in the Danish interbank netting system
Systemic risk in a network model of interbank markets with central bank activity
Revisiting the link between systemic risk and competition based on network theory and interbank exposures
Interbank Overnight Interest Rates - Gains from Systemic Importance
Multi-layered interbank model for assessing systemic risk
Multi-layered interbank model for assessing systemic risk
Network topology of the Argentine interbank money market
Contagion in the interbank network: An epidemiological approach
Harmonic distances and systemic stability in heterogeneous interbank networks
A network view on interbank market freezes