Arbeitspapier

What drives interbank loans? Evidence from Canada

We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers. Borrowers therefore adjust unsecured lending in response to changes in short-term cash needs, and use repos to finance persistent liquidity demand. We also find that lenders set rates and haircuts taking into account counterparty credit risk and collateral market price volatility.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Staff Working Paper ; No. 2018-5

Klassifikation
Wirtschaft
Large Data Sets: Modeling and Analysis
Interest Rates: Determination, Term Structure, and Effects
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Thema
Financial markets
Wholesale funding

Ereignis
Geistige Schöpfung
(wer)
Bulusu, Narayan
Guérin, Pierre
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2018

DOI
doi:10.34989/swp-2018-5
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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Bulusu, Narayan
  • Guérin, Pierre
  • Bank of Canada

Entstanden

  • 2018

Ähnliche Objekte (12)