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.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2018-5
- Classification
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Wirtschaft
Large Data Sets: Modeling and Analysis
Interest Rates: Determination, Term Structure, and Effects
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Subject
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Financial markets
Wholesale funding
- Event
-
Geistige Schöpfung
- (who)
-
Bulusu, Narayan
Guérin, Pierre
- Event
-
Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2018
- DOI
-
doi:10.34989/swp-2018-5
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bulusu, Narayan
- Guérin, Pierre
- Bank of Canada
Time of origin
- 2018
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